The midfielder insisted his side have learned from last season's final defeat to Chelsea and are "hungry" for success this time around.
"We are hungry to win the Champions League," he told the Daily Mail. "This team have been to the final twice and didn't win.
"We have more experience and we're moving towards our aim. Compared to the final against Chelsea, we are stronger. We have more good players and we are stronger on the bench. This is a crucial point.
"In the final, Chelsea brought on Fernando Torres and Florent Malouda and that helped them win the game. That's a big difference to last season. We have more options to change."
Schweinsteiger acknowledged that Bayern are among the favourites to win the competition but warned his teammates that they must defeat Arsenal before embracing this.
"We are eager to win, we have become a better team and again we are all working towards a return to the final," he added.
"Five or six teams in Europe are candidates to win the Champions League and we are one of them. I know most of Europe do not want to play against Bayern Munich.
"We have gained a lot of respect during the last four or five years, but we have to win against Arsenal before we start to think about this."
Arsenal host Bayern in the first leg on the tie on Tuesday evening.