The legendary goalkeeper feels that the Bundesliga club's record in recent finals could weigh heavy on their minds when they face Borussia Dortmund at Wembley 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 club tournament, and last season's DFB-Pokal final, which they lost 5-2 to Dortmund.
And Khan feels such defeats could have a negative impact on Bayern when they take to the Wembley pitch this weekend.
"I assume that Bayern have analysed these finals very closely," Khan 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 Dortmund have nothing to lose going into 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 [to win]."
Having tasted defeat in the 1999 Champions League 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 the club's mentality and ensuring they conquered Europe again.
"Back then the motto 'further, always further' arose and Ottmar Hitzfeld shaped it," he remarked. "Manchester United's two injury-time goals in 1999 were the perfect evidence for this. We spiritualised that slogan more and more."