The German giants will travel to London on Tuesday for the first leg of their Champions League last-16 clash against the Gunners at the Emirates Stadium.
"I know they lost their best player in [Robin] Van Persie and they got some new players in, but they're still a very dangerous team," he told The Sun.
"People will say that we're favourites but we can expect two very tough games. They have a young team with a great manager (Arsene Wenger), who always improves his teams and can develop young players.
"We won't underestimate them. Maybe they're struggling a bit but Champions League nights are always special and anything can happen."
Robben was on target for Bayern in their 2-0 away victory over Wolfsburg in the Bundesliga on Friday.