The advent of free electron lasers has opened the opportunity to explore interactions between extreme ultraviolet (EUV) photons and collective excitations in solids. While EUV transient grating spectroscopy, a noncollinear four-wave mixing technique, has already been applied to probe coherent phonons, the potential of EUV radiation for studying nanoscale spin waves has not been harnessed. Here we report EUV transient grating experiments with coherent magnons in Fe/Gd ferrimagnetic multilayers. Magnons with tens of nanometers wavelengths are excited by a pair of femtosecond EUV pulses and detected via diffraction of a probe pulse tuned to an absorption edge of Gd. The results unlock the potential of nonlinear EUV spectroscopy for studying magnons and provide a tool for exploring spin waves in a wave vector range not accessible by established inelastic scattering techniques.