The German giants are favourites to progress to the quarter-finals after a convincing 3-1 win at Emirates Stadium in the first leg of their last 16 tie.
But Munich have history of making a mess of things in the Champions League, including losing two of the last three finals - with last season's defeat coming to Chelsea on penalties at their own Allianz Arena.
Martinez only joined Bayern in the summer but he is keen to avoid any more slip-ups, as he told Sky Sports: "We have the advantage in the round but we are not guaranteed to reach the next round.
"We must wait 90 minutes and we need to be concentrate."
"To play at home is important but this club has suffered disaster in the past Champions League final."
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