Midfielder Thomas Muller, who at 23 will be in his third final after losing in 2010 and 2012, said his team-mates were not panicking because experience had taught them the key to winning the all-German final at Wembley.
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"No one is wetting their pants," Mueller, who has enjoyed a sparkling season, scoring eight goals in the European campaign, told reporters on Friday.
"We had trouble converting our chances [in last season's final against Chelsea]. We liked how we played but you have be more lethal in front of goal to profit from it."
Bayern dominated last season's final but managed only one goal through Muller in the 83rd minute before conceding an 88th-minute equaliser and losing on penalties in Munich.
Bayern, aiming for an unprecedented treble for a German club after winning the league and also reaching the June 1 German Cup final, will try to dominate possession against Dortmund, who won the 2011 Bundesliga and 2012 domestic double.
"I cannot say if we have a weakness," Muller said. "We have played lot of games without conceding a goal and I have a good feeling but maybe Dortmund can answer if we have a weakness."
LAST CHANCE
Bayern coach Jupp Heynckes is hoping to join Ernst Happel, Ottmar Hitzfeld and Jose Mourinho in the elite group of coaches who have won the Champions League with two different teams.
"It is not as big for me personally as it is for the players," said Heynckes, who won the European Cup with Real Madrid in 1998.
"For the generation of players who are 28 or 29, it would crown their careers to win the title against a German team at Wembley."
"This is most likely the last chance for me to win the trophy again," said the 67-year-old whose contract with Bayern ends this season.
"In my career as player and coach, I've won titles but also had disappointments," added Heynckes who has already said he would not coach in the Bundesliga again but has not ruled out working in another country.
"Naturally, it's a big game, but for the whole club and especially for my team."
"You have some scenarios in your head but as a player and coach I've always been positive.
He added: "In this season we have been extraordinary. It was the best Bundesliga season of any team in 50 years."
