The European champions put one foot in the quarter-finals of the UEFA Champions League by winning 2-0 in the first leg of their last 16 tie on Wednesday.
Arsene Wenger's side were also up against it after the first leg at the same stage of the competition last year after suffering a 3-1 home defeat, but the London club only went out on away goals after winning 2-0 in Munich.
Only Manchester City have consigned Bayern to a home defeat in any competition since then, but Bayern captain Lahm will not be taking Arsenal lightly in the second leg.
He told Bayern's official website: "Coming to Arsenal is a big ask as we all saw (on Wednesday), especially in the early stages.
"We can be pleased with the result. We had the game under control after 20 minutes, we were dominant and we started creating chances.
"I think we have to accept the criticism that we didn't always play the final ball. Arsenal kept it very tight, especially in the middle.
"We're in a very good position for the return, but last year should be a warning to us all. All of us who were part of it know how quickly it can change.
"We have to concentrate at home and go for it from the start. As we saw today, if you slacken off even a little bit, if you don't feel like building from the back, it'll always be tough against a very aggressive and technically strong team. We have to be prepared for another fight."
Mesut Ozil missed the chance to put Arsenal in front with an early penalty on Wednesday, and David Alaba also missed from the spot after Wojciech Szczesny was sent off for bringing down Arjen Robben.
Ozil's miss proved costly as Toni Kroos and Thomas Muller struck in the second half to put Pep Guardiola's Bayern on course for the last eight.
But midfielder Kroos echoed his captain's sentiments, having also featured in Bayern's home defeat against Arsenal last season.
He said: "We rode our luck in the first 15 minutes, especially with the penalty. Obviously, it would have been a great deal harder if it had gone in.
"We're well aware it's not over by a long chalk, as we saw last year. It was a step in the right direction but we're by no means through yet."
