The clubs meet for the second successive campaign, with Bayern having triumphed over Arsenal only on away goals on route to last season's final.
"The Gunners play a very beautiful football, they are the most difficult opponent we could have got," he said.
"We are on eye-level with this top team from the Premier League.
"We have had more success on national and international level than Arsenal in the last few years, that's why we are slight favourites.
"We are holders and we have improved."
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