In the past 12 months Sabella, who took charge in August 2011, has led Argentina to eight wins from 10 matches, with the only loss coming at the hands of arch rivals Brazil in September when Neymar converted a penalty with the last kick of the match.
That form has helped Argentina open up a three-point lead at the top of their World Cup qualifying section, and has left Coloccini impressed by the work being done by the new coach.
"With Alejandro Sabella the national team have taken a huge step forward," said Coloccini, who was recalled earlier this year following a three-year absence.
Argentina won the World Cup in 1978 and 1986 but have not progressed beyond the quarter-finals since 1990 while the last of their 14 Copa America triumphs came back in 1993.
"Argentina are different to before. We had other coaches and it was notable that the team were not on the right path," the Newcastle defender added.
"But now, under this coaching staff, we are seeing a solid team. Beyond some mistakes, the team has found the right system to play."
Wednesday's friendly with Saudi Arabia is Argentina's penultimate match of the year, with only another showdown with Brazil to come.
Argentina are overwhelming favourites to pick up another victory over a country who have already been knocked out of World Cup qualifying and were thrashed 5-0 by Spain in September, but Sabella is not taking Frank Rijkaard's side lightly.
"They are a team who like to play with the ball on the grass. That is because of the football style the players in Saudi Arabia have and because of the coach they have," he said.
Sabella has named a strong squad for the match but has lost Gonzalo Higuain to injury, along with midfielders Fernando Gago and Enzo Perez, and defender Ezequiel Garay.
That could open the door for other players to stake their claims, with Sabella telling TyC Sports: "If I define a group of players, it is difficult that I change, but I cannot be completely sure.
"It is always good to widen the group and take some members to make a team more solid. That is what we are trying to do."
Rijkaard, meanwhile, knows his side are underdogs but does not intend to let Argentina dictate terms.
The former Holland international told Al-Jazirah newspaper: "We will not stand and wait for Argentina to play as they want and control the game.
"We'll play our way and our plan is to reduce Argentina's threat and get something out of the game."
Rijkaard is also hopeful Saudi Arabia will not suffer the same as they did at the hands of world champions Spain, adding: "Undoubtedly, the Saudi team is in need of these types of big games and everybody is looking for strong opponents to play against. However, there is also a little fear of the results. If Argentina wins, it is normal."