Jennings joined Bayern last year from Tranmere Rovers.
"They think they'll win. In fact they think they'll win easy," Jennings told the Daily Mail.
The 19-year-old winger moves quickly to qualify his statement.
"It's not arrogance, it's more confidence in what they are capable of. The team is full of world-class players and if you can beat Real Madrid in Madrid you can't be bad. That semi-final win really gave everyone here belief they can win the tournament."