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Midfielder Thomas Mueller, who at 23 will be playing 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.
"No one is wetting their pants," Mueller, who has enjoyed a sparkling season, scoring eight goals in the European campaign, told reporters on Friday.
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"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 showpiece match but managed only one goal through Mueller in the 83rd minute before conceding an 88th-minute equaliser and losing on penalties in front of a home crowd 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," Mueller 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."
