The experienced centre-midfielder is determined to avoid more European heartbreak when they take on their Bundesliga rivals Borrusia Dortmund at Wembley on May 25
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"It’s the third time in the last four years that we’ve made it to the final and we’ve already lost twice, which isn't great," Tymoshchuk told the official Bundesliga website.
"Of course, everyone thinks about it [losing our last two Champions League finals] a little bit, even though it's in the past.
"I've also thought: 'It's the third final in four years, we have to win it now after losing twice', but we also thought that last year.
"In my opinion we were better than Chelsea last year, but everyone knows know what happened. In football the best team doesn’t always win."
Bayern meet Dortmund at Wembley on May 25.