The former Germany international feels that the onus is on the Bavarians to overcome the German champions in their DFB-Pokal quarter-final tie, due to their tremendous form
Jupp Heynckes' side are coasting to the Bundesliga title thanks to their 17-point lead over the reigning champions in league, and the ex-Germany international feels the onus is on them to perform at the Allianz Arena on Wednesday.
"Nobody is backing Dortmund because Bayern are already champions," Effenberg told Bild.
"But that's neglectful. The two teams are at eye level - completely equal. I'm convinced that Bayern will not shoot Dortmund off the park.
"The pressure on Bayern is much, much higher. Dortmund have nothing to lose. If they were to lose, they will accept it and say that Bayern are the best.
"Bayern will know that. They have much more to lose. Dortmund should not be ashamed of anything. They are still second. At Bayern, everything is going well and they have the perfect world."
Dortmund beat Bayern 5-2 in the final of the competition last year, and Effenberg feels the defeat will be fresh in Bavarian minds going into the tie.
"You don't get such a humiliation out of your head. Bayern know that they're an opponent they have done well against," he added.
"They know that Dortmund are not Bremen, but a team who know how to beat Bayern. I believe it will be a very close game that could go into extra time and penalties, which Bayern will end up winning 8-7."