The German club won the first leg 3-1 at the Emirates Stadium in London last month.
"We had a very good day against Arsenal [in the first leg]; the first half was excellent, the second quite good," he told reporters. "But Arsenal are still Arsenal. For many years they have played great football. I remember [last season] Arsenal lost the first leg 4-0 to Milan but then won 3-0 at home, nearly scoring a fourth goal.
"We are not paying attention to the hype around us. People are saying we are the best team in Europe; that does not affect us.
"There are so many strong teams in Europe and to reach the final you always need a little luck. So my team remains calm and down to earth. We have a long way to go."
The second leg will be held at the Allianz Arena in Munich on Wednesday.