The Gunners hosts the German club at the Emirates Stadium on Tuesday evening and Szczesny believes that the home crowd have a big role to play in helping the Gunners seize the advantage.
"Ideally you would like to play the first leg away from home and then take the second leg to the Emirates, but we may get a decent advantage like AC Milan did against us last season," the Poland international told the club's website.
"Hopefully we can take a lead to their place, because it will be very tough at the Allianz Arena.
"The Arsenal supporters are always fantastic, especially on Champions League nights. It is always a bit more exciting and if we can match the atmosphere with the performance then we will have a good chance of getting a result."
Former Bayern goalkeeper Oliver Khan has insisted that his old team will progress in the competition.