Defeats to Inter in 2010 and Chelsea last year have not deterred die Roten, who will face Borussia Dortmund on May 25 for the chance to be crowned European champions.
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"And when you hold that trophy in your hands, it's something special."
The iconic West Germany defender first got his hands on the trophy in 1974, when a 4-0 replay triumph against Atletico Madrid saw them lift the silverware, before successive final wins over Leeds United and Saint-Etienne in the following campaigns.
Beckenbauer added: "The first win was, of course, the most important, because we drew in the first game.
"It was 0-0 in extra time. Then Atletico Madrid took the lead and we scored the equaliser in the last minute. We were very lucky."
Wembley will play host to Bayern's latest attempt to be crowned European champions this month in Jupp Heynckes' penultimate game in charge before Pep Guardiola succeeds him in June.
The Bavarians are favourites having stormed the Bundesliga this season, where they sit 25 point above second-placed Dortmund with all the games having been played.