Lewandowski has been strongly linked with a move to La Liga in recent months, signing with renowned agent Pini Zahavi reportedly in order to make the transfer happen.
As revealed by Goal, Bayern have insisted they see no reason to sell Lewandowski and would see such a move as weakening themselves given the Polish striker is among the finest attackers in world football.
But Effenberg, who enjoyed two spells at Bayern in the 1990s and early 2000s, says they will have to let Lewandowski get his own way if he does tell them he wants out.
"I understand that some other English team is also going for him," Effenberg told AS. "When Robert says he wants to leave, the club will have to open the doors.
"What he wants is to win the Champions League and at Bayern he has every chance of doing it."
Bayern host Madrid in the Champions League semi-final first leg on Wednesday and Effenberg spoke of his admiration for the Spanish side's centre-back Sergio Ramos, who he believes has been crucial to their successes in recent years.
"I would not have liked to face him," Effenberg said of Ramos. "I do not lie when I say that Madrid would not have won so many titles without Ramos.
"The same goes for [Toni] Kroos. His signing for Madrid helped him to give the final pass to the world's elite.
"Ramos, Kroos and Cristiano [Ronaldo] form a backbone that, being one hundred percent, will require Bayern to get the most out of themselves.
"They [Madrid players] are all good. [Dani] Carvajal, for example, he already amazed me when I saw him at Leverkusen, but in Madrid even more so. Cristiano is very good, yes, but they have others too."