Die Roten made it all the way to the final last year, only to fall on their own patch to Chelsea on penalties - an eventuality that president Uli Hoeness labelled a disaster.
On overcoming last season's disappointment, the Bayern goalkeeper remarked to Bundesliga.com: "It's natural to always want to achieve the maximum amount of success. Unfortunately we squandered that opportunity last season, but we're looking to the future."
The Bavarians kick-off their Champions League venture with a home match against Valencia. Neuer insists it is a difficult opening encounter but, the group which features French side Lille and Belarus' Bate, could have been harder.
"We get to start from scratch again and in our first match we face a very strong opponent who we want to pick up our first three points against," he added.
"We've definitely had a little more luck than last season. Nevertheless, we've got to take every opponent seriously in this group because they've all rightfully qualified and deserve to be playing in the Champions League.
"From that point of view it's going to be fiercely competitive once again."
Finally, on the subject of new signing Javi Martinez, who broke the Bundesliga record this summer, the former Schalke man was quick to praise his new colleague.
"I'm always watching what goes on in the game because I have to be aware of where the ball is and, when he comes off the bench, it seems that he often has the ball."
Martinez came on a second-half substitute in Bayern's 3-1 win over Mainz at the weekend.