The Spanish giants claimed a 1-0 first-leg victory at the Saniago Bernabeu last week thanks to Karim Benzema's goal and the two sides meet against on Tuesday.
However, Neuer believes that his side's experience of reaching the final will help them defeat Carlo Ancelotti's side, who have lost at the last-four stage in the previous three seasons.
"We have our weapons in good shape and I have confidence in us," he told Bild.
"We have gone through semi-finals three times in the last few years and I believe that reaching the final this year would be a success.
"We know that we have already beaten very strong teams at home, often kept clean sheets and have scored several goals. This makes us optimistic. We believe that we'll go to Lisbon."
Bayern and Madrid kick off at 20:45CET on Tuesday.