We demonstrate coherent control of cyclotron resonance in a two-dimensional electron gas (2DEG). We use a sequence of terahertz (THz) pulses to control the amplitude of coherent cyclotron resonance oscillations in an arbitrary fashion via phase-dependent coherent interactions. We observe a self-interaction effect, where the 2DEG interacts with the THz field emitted by itself within the decoherence time, resulting in a revival and collapse of quantum coherence. These observations are accurately describable using single-particle optical Bloch equations, showing no signatures of electron-electron interactions, which verifies the validity of Kohn's theorem for cyclotron resonance in the coherent regime. © 2011 American Physical Society.