Bayern will be defending a 3-1 lead at the Allianz Arena.
But Martinez says: "We need to concentrate for the full 90 minutes because to go out after leading 3-1 would be a huge blow for us.
"Nobody is thinking in this way but we all know Arsenal will arrive in Germany playing for pride and looking for revenge.
"We were superior to them in London in every way. Perhaps we didn't score enough goals but to annihilate a team like Arsenal at their home ground is never easy.
"I expected a better performance from the Gunners but we started the match like a hurricane.
"People have criticised their performance - but we totally ran rings around them."