The Frenchman downplayed the notion that his side can win the competition but insisted they will "give it a good shot" against the Germans.
"Just now it would be a bit pretentious to say that [we can win the Champions League] but you never know," The Mirror quotes him as saying.
"We have to give it a good shot on Tuesday night and see where we stand afterwards. Bayern were favourites before this and still are."
Arsenal crashed out of the FA Cup over the weekend at the hands of Championship outfit Blackburn Rovers, who defeated them 1-0 at the Emirates Stadium.