The Citizens have failed to progress beyond the competition's round of 16 in the past three seasons, but Kompany feels that his side made progress last year as they defeated Bayern Munich 3-2 in Germany.
He told reporters: "We're confident. This is the first game of the Champions League, an away game against one of the hardest teams to play against in the world right now.
"But we should take confidence out of the last game we played in Munich. We're up for the challenge anyway.
"I don't think we've got a point to prove in Europe. I dissociate Europe from the league. But I just want to win games."
City face Bayern in their Group E opener on Wednesday at the Allianz Arena.