The runaway Bundesliga leaders could be forgiven for thinking the hard work had been done after delivering a European masterclass with a 3-1 win in London a fortnight ago.
However, Heynckes warned the Germans - who before last season's final defeat to Chelsea had lost just once at home in Europe to English opposition, and that back in the 1993 UEFA Cup against Norwich - cannot afford to be complacent.
"Last year Arsenal lost 4-0 (away to AC Milan), then in the second leg they won 3-0 - they could have won 4-0, they had the chances, so it shows they are a strong team and capable of making up the gap if they have to," Heynckes told a press conference this afternoon.
"I respect Arsene Wenger very much. He is a top manager and Arsenal are a fighting team.
"They will do everything to get a result here, so we must be on our guard."
Bayern forward Franck Ribery will miss tomorrow's second leg at the Allianz Arena, while midfielder Bastian Schweinsteiger and defender Jerome Boateng are both suspended.
Former Chelsea winger Arjen Robben, meanwhile, was not involved at the weekend against Dusseldorf because of a calf problem.
Bayern, though, have the likes of Brazilian Luiz Gustavo and Switzerland midfielder Xherdan Shaqiri ready to come in.
Captain Philipp Lahm, however, insists that strength in depth must not result in any over-confidence tomorrow.
"We know how good we are and we have a lot of confidence, but we do not expect to win everything," the German defender said.
"We must work hard and we must be focused.
"Of course Arsenal must attack, they have to play catch up, but we must also attack and cannot just hope to win."
With Arsenal facing an uphill battle to make it back into the top four of the Barclays Premier League after defeat at rivals Tottenham, tomorrow night could be their last elite European fixture for some time.
Following the best part of a decade without silverware, Wenger's position continues to come under scrutiny.
Heynckes, though, feels his good friend still has plenty to bring to the top table.
"Arsene Wenger is a very creative and a good reader of football. Arsenal has played some of the best football in England over recent years," he said.
"Maybe they haven't been as successful, but their style is very attractive.
"Arsenal has had world-class players, some have left the club and some have come in. For all managers though, to be at the top of the game you must have top players.
"This might have been a difficult thing for Wenger, but he has been one of the top managers in his career and I will be sad if he is not involved any more."