Bayern need only prevent their visitors scoring three times to book a place in the Champions League quarter-finals following their 3-1 win in north London.
But Heynckes is mindful of last season, when Arsenal lost 4-0 at Milan in the last-16 before winning the second leg 3-0 and briefly threatening one of the competition's great comebacks.
He said: "Last year Arsenal lost 4-0, then in the second leg they won 3-0 - they could have won 4-0, they had the chances. It shows they are a strong team and capable of making up the gap if they have to.
"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."
Wenger has faced more criticism from Arsenal supporters this season than in any of his previous 15 in the Premier League, but Heynckes believes an eight-year trophy drought is a consequence of the club's transfer policy.
He said: "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. 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."
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