The existence of compactons in the discrete nonlinear Schr\"odinger equation in the presence of fast periodic time modulations of the nonlinearity is demonstrated. In the averaged DNLS equation the resulting effective inter-well tunneling depends on modulation parameters {\it and} on the field amplitude. This introduces nonlinear dispersion in the system and can lead to a prototypical realization of single- or multi-site stable discrete compactons in nonlinear optical waveguide and BEC arrays. These structures can dynamically arise out of Gaussian or compactly supported initial data.