The right back thinks Arsene Wenger's troops will take an attacking approach, and he feels his colleagues will have to be wary of a backlash.
"Arsenal are dangerous, especially in attack as I believe they have problems defensively. They have very good players and we will have to be on our toes," Lahm told reporters.
Bayern coach Jupp Heynckes has told his troops not to become complacent when up against the Gunners, despite their tag as favorites.
"Arsenal have found their rhythm again in the last couple of weeks. They are an excellent team and play very well going forward. I'm warning about underestimating this team," Heynckes said. "We will have to position ourselves well in defense, like we're used to. I think that we will be able to win there. But for that, we will have to bring our absolute top level of performance."
Bayern midfield duo Bastian Schweinsteiger and Thomas Muller have claimed that only a top-rate performance will see the Bavarians triumph.
"Arsenal are an opponent who will be very unpleasant. We will have to put everything in the balance in order to gain something there," Schweinsteiger said.
Added Muller: "They are an English top-class side, you always have to be careful with those. We will go there with a lot of confidence, but we're also aware that there's a tough match ahead of us."