"I told him maybe not to watch those tapes until he signed his contract," Gretzky said with a chuckle.
Maloney took the job even though the tapes showed him the Coyotes have a long way to go to play for a Stanley Cup championship. Phoenix finished last in the Western Conference, 29 points out of the playoffs.
"It was a little daunting to see where they were," said Maloney, who was introduced to the media on Tuesday. "But if he was trying to scare me away, it didn't work."
Maloney faces the task of making a contender out of a team that has missed the playoffs four straight years. Terms of his contract were not disclosed, but the club said it was a multi-year deal.
The 48-year-old comes to the Coyotes from the New York Rangers, where he served as assistant general manager and vice-president of player personnel. The native of Lindsay, Ont., spent 10 seasons in the Rangers' front office, working closely with president and general manager Glen Sather, after 10½ seasons as a left wing for the team.
During Maloney's tenure, the Rangers went from a free-spending organization to one that built from within. After a dry spell, the Rangers made the playoffs the last two seasons.
"Don has incredible experience," Phoenix CEO Jeff Shumway said at a news conference. "If you go back and look at the last four or five years with the Rangers, Don went through with the Rangers exactly what we need to go through with the Phoenix Coyotes. That is, he rebuilt a team using young players.
"He knows how to pick players," Shumway said. "He knows how to develop players. And he knows how to structure an organization to bring the potential out in those players."
Maloney replaces Michael Barnett, who was fired as part of a front-office shakeup. Barnett, who was Gretzky's agent during his playing career, spent six seasons with the Coyotes.
Maloney is in an unusual position. Most general managers hire their coaches. Gretzky is not only the head coach, he's managing partner of the franchise.
"Let's face it - is it the norm of how a sports team is run? No, not when the managing partner is actually the head coach," Maloney said at the news conference. "But I think it's going to be a tremendous partnership, and that's really what it comes down to."
In an interview with beat writers, Maloney said he looked forward to working with Gretzky.
"One thing that impressed me on Wayne: He's not a person that thinks he has all the answers, that it's his way or the highway," Maloney said. "He's very, very open to listening. He's a very, very sharp hockey mind.
"They don't need somebody up in front of the microphone," Maloney said. "Wayne's the face of the franchise. What they need is underneath people that know players, know the scouting community, know who's good out there and who's not, and I think that's my strength."
Maloney was in the Rangers' front office when Gretzky finished his playing career with the team, and both men have both been involved with Team Canada. They were teammates on the Canadian junior team in a 1978 tournament, but said they only began to get to know each other a few weeks ago.
Gretzky made it clear that Maloney would have the power to make deals.
"My role is pretty simple, as I said to Donnie when we first met a couple weeks ago," Gretzky said. "My enjoyment is coaching."
Maloney will work closely with Gretzky's brother, Keith, who just completed his first season as the director of amateur scouting.
This is Maloney's second NHL general manager position. Maloney was 33 when the New York Islanders promoted him to general manager in August 1992, 19 months after he retired as an Islanders player.
"I learned on the fly," Maloney said. "It was a great learning experience. I'm thrilled to be back in the driver's seat."
After meeting with Coyotes' staff, Maloney planned to leave Wednesday for Toronto, where amateur prospects are working out ahead of the NHL draft. The Coyotes pick third in the June 22 draft.
"We're going to be hungry and we're going to build from the ground up," Maloney said. "And that's the only way for long-term success."