Coady, 26, was already at Molineux when Nuno arrived at the then Championship club in the summer of 2017.
Now Wolves are in the last 32 of the Europa League and fifth in the Premier League.
And Coady does not want to see his boss depart anytime soon after he was linked with the vacant Arsenal hot-seat.
He said: “We don’t want him to (move on). We want him to be here as long as possible.
“He is someone who has stamped his authority on the club straight away. His staff are outstanding too.
“He’s a world-class manager and we know what happens in the future.
“For now, we want to learn as much as possible and keep improving under him because he is an outstanding manager.”
Wolves made it 10 unbeaten in the Premier League with a 2-0 win over West Ham on Wednesday night.
And as they head to Brighton on Sunday Coady says this Wolves crop are more than just a 3-4-3 formation.
He said: “He is the best manager I have ever worked with. He is outstanding with his ideas and what he wants to do. People just think we play a 3-4-3. But there’s so much work that goes on inside of that system that we have learned in the two-and-a-half years he has been here.
“He is outstanding for me, he’s the best manager I have ever worked under but we just want to keep improving under him.”
Nuno gave his players yesterday off. It was the players’ first break in 21 days and Coady was planning to spend it with his family. He said: “My missus has done all of the Christmas shopping! It will be nice to see her and take the little man to school.
“Family is huge. You don’t see much of them over Christmas. It is a tough schedule.”
Meanwhile, Wolves’ FA Cup third round tie with Manchester United will kick off at 5.31pm on Saturday, January 4.
As part of the Heads Up campaign, all 32 third round fixtures will kick off one minute later than their traditionally scheduled timeslots to encourage fans to ‘Take A Minute’ to think about looking after their mental health.