Arsene Wenger's side goes into the game 3-1 down after the first leg, but Heynckes says he is well aware of the quality the Premier League side possess.
"Arsenal are not playing this weekend and can prepare optimally. They are not coming to Allianz Arena to get eliminated, instead they want to make the impossible possible," Heynckes told reporters at a press conference.
Before that game takes place, however, Bayern faces Fortuna Dusseldorf at home, and Heynckes says it is the only match him and his squad are focused at present.
"We are not thinking about the Arsenal match yet. We want to march on in the league and expand our lead. We can't allow ourselves to slack now," he insisted.
The 67-year-old was complimentary of their opponent's this weekend, and was quick to add that his side is not getting carried away with its 17-point lead at the top of the Bundesliga table.
"Fortuna have established themselves as a promoted team. If you look past our five goals against them in the first half of the season, they have done well defensively. We'll have to fully focus," Heynckes said. "It would be the wrong attitude to think about the Bundesliga title. We just want to continue."