The Italian champions will travel to Germany for the first leg of their tie to be played at the Allianz Arena on Tuesday.
"In Italy we're on the right road [to success] but now we have to show what we're made of in Europe," Conte told reporters.
"We're going to Munich with no fear and a lot of confidence. We'll be up against a strong Bayern side, but we believe in this dream."
The second leg of the tie will be played in Turin next week.