The league leaders dispatched Thomas Tuchel's side in ruthless fashion, with goals from Robben, Franck Ribery and a double from ex-Dortmund striker Robert Lewandowski securing a 4-1 victory.
And Robben was delighted with their dominant display at the beginning of a crucial run of fixtures this month.
"We really turned in a very good and intense display," he said, as quoted by Bayern's official website. "It's nice if you're up against such strong opponents and play like this. We're in for a nice month.
"We left our opponents no chance. With a little more luck we could have scored more goals in the first half. A 4-1 scoreline, a clear-cut, superb win. It's fun. It boosts our confidence."
Dortmund, who were 2-0 down after 10 minutes, grabbed a lifeline when Raphael Guerreiro rifled in a shot after Jerome Boateng scuffed a clearance into his path.
Boateng made amends in the second half when he cleared a Pierre-Emerick Aubameyang effort off the line with the score at 3-1, and the Germany international feels that moment should serve as a warning sign ahead of the clash with Madrid.
"We wanted to lay down a marker after Tuesday [a 1-0 defeat to Hoffenheim]," he said. "We played well against strong opponents today, we controlled the match.
"Dortmund only had one gilt-edged chance. We were in the lead, it was 3-1, but Dortmund had a big chance.
"We had to be highly alert, we should have stifled their counter-attack. We mustn't attack recklessly."