Bayern dominated possession at the Bernabeu as Madrid played on the counter, a tactic that allowed Los Blancos to record a 1-0 win on their own patch.
However, Robben is confident that his side can turn it around in the second leg.
"We were all surprised about their defensive play in Madrid. We have to focus on playing offensively and scoring goals but we also have to take care of their counter-attacks. We are all motivated enough. We know Madrid want the 'Decima'," he told reporters at a press conference.
"We are still hungry and we know we can write history with this team so we are as motivated as they are. The two teams have great aims.
"It won't be any easier for us if [Cristiano] Ronaldo and [Gareth] Bale are playing from the beginning. It is clear they will have lots of confidence because of the result in Madrid but they know it won't be easy here."
Bayern beat Borussia Dortmund in the final of the competition last season.