The 56-year-old, who currently serves as a director at the German giants as well as president of the European Club Association, maintained that whilst the club are enjoying a good run of form, they should be wary of their rivals.
Bayern beat Schalke 2-0 in Gelsenkirchen on Saturday, making it four wins out of four, and putting Jupp Heynckes' side five points clear of champions Borussia Dortmund.
"We cannot allow euphoria. Last season, we were eight points clear of Dortmund [at one point], and we know how it all ended," the former striker told Sky.
Meanwhile, Germany coach Joachim Low is pleased with the form Bastian Schweinsteiger has been showing for the league leaders.
"He [Schweinsteiger] exudes an incredibly strong presence. He is the personality on the pitch, always unplayable, he moves well without the ball," the national team trainer said.
"You can tell, somehow, he has the pleasure of playing again."
Bayern host Wolfsburg on Tuesday, in the fifth round of matches of the Bundesliga season.