Bayern beat Arsenal 3-1 at the Emirates last season but only went through to the quarter-finals on away goals after suffering a late scare at the Allianz Arena.
After their 2-0 victory in London, Lahm said: "We're in a very good position for the return but last year should be a warning to us. All of us who were part of it know how quickly it can change. We have to concentrate at home and go for it from the start."
"As we saw last night, if you slacken off even a little bit, if you don't feel like building from the back, it'll always be tough against a very aggressive and technically strong team. We have to be prepared for another fight."
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