The legendary goalkeeper has suggested the Bavarians' recent final defeats could weigh on their minds on Saturday
The Bavarians have finished as runners-up in several competitions in recent years, including the 2010 and 2012 editions of Europe's top competition and last season's DFB-Pokal final, which they lost 5-2 to BVB.
"I assume that Bayen have analysed these finals very closely," he told Kicker.
"If you focus on these problems, the finals defeats could have a lasting negative effect at the very minimum. If you look at it, Bayern are already in an awkward situation.
"Bayern have to remember how they played against Barcelona and how they dominated the Bundesliga."
The 43-year-old added that BVB have nothing to lose going in the final, particularly when compared to their opponents.
He said: "While it's always painful to lose a final, nobody expected this title from Dortmund. Dortmund do not have this absolute must."
Having tasted defeat in the 1999 final defeat to Manchester United - when Kahn was beaten twice in injury-time - the keeper became the hero in 2001 as he saved three penalties against Valencia.
And he credits former Bayern boss Ottmar Hitzfeld for changing their mentality and ensuring they conquered Europe again.
"Back then the motto 'further, always further' arose and Ottmar Hitzfeld shaped it. Manchester United's two injury-time goals in 1999 were the perfect evidence for this.
"We spiritualised that slogan more and more."