The 66-year-old coach believes that Los Blancos will not underestimate his side and labelled Jose Mourinho as one of the greatest coaches in the game
The Bundesliga club host Madrid on Tuesday at the Allianz Arena, and Heynckes says that both sides will approach the first leg with the utmost care.
"I have many friends in Madrid, and therefore know that they have a lot of respect for Bayern," he told reporters at a press conference.
"I am well aware of our opponents, their players and their reserves."
Bastian Schweinsteiger returned to the starting line-up in Saturday's goalless draw with Mainz, but Heynckes was non-committal when asked if the 27-year-old would feature from the opening whistle.
"I have not made a decision as to whether he will play from the start," the 66-year-old said.
Questioned about his opinion on Jose Mourinho, Heynckes had only words of praise for his Madrid counterpart.
"He is a coach who has left his mark everywhere," he noted. "His current squad has broken all the records that ever existed at the club. He is one of the best coaches in Europe."
The German then gave his backing to Arjen Robben, who has received widespread criticism after missing a penalty in the 1-0 defeat to Borussia Dortmund.
"If you are at Bayern and lose to Dortmund, it is common that the media voices criticism," Heynckes noted.
"There was no criticism at all from within the team. Arjen is a player who can make the difference."