Jurgen Locadia missed two good chances in the first half, but opened the scoring after the interval, before Luuk de Jong put the match to bed in the closing stages with a neat finish.
"Wolfsburg came here for a draw. That was clear to see right from the start. Their line-up also gave away their intentions," Cocu told SBS6.
"But we were very patient. It was a great game, a fantastic evening for us. I think we put in a very good, mature performance. We were strong on the ball and not afraid to stick our foot in if needed.
"We had a bit of a nervous start, but we got stronger as the game progressed. I think the goal was inevitable. We knew we would score if we kept playing our own game. And it was a great goal as well, a fine finish from Jurgen.
"We were also quite strong in defence and did not give away anything. And then we got the second goal, which could prove to be very important."
Cocu reserved special praise for influential captain De Jong following his fine performance.
"It is great to have a striker who can both score and set up goals. He did both against Wolfsburg. He led the team and behaved like a proper captain," he added.
De Jong, meanwhile, felt PSV should be proud of their display.
"We put in a great performance. We were very strong, hardly gave away any chances and deserved our win," De Jong said.
"We dominated proceedings and didn’t let them play their own game. They had one shot after the break and that was it.
"You noticed Wolfsburg were playing for a draw. They were sitting back and hoping to hit us on the counterattack."