Real must overturn a 2-1 deficit to reach the semi-finals, with the Champions League their final chance of a trophy this season.
But Robben insists: "For me, Bayern were the better team in the first leg. I think the result perhaps didn't fully reflect their superiority, but you have to be alert and focused for the full 90 minutes.
"Even if you think, 'We're winning 2-0 and everything is going well...' They can score a goal out of nowhere. In football, a match is never decided, and Real Madrid is the best example of that."
When asked about Real Madrid, Robben issued a warning: "You should never count Real Madrid out. I'm impressed by how calm they always are.
"Sometimes they're comfortable defending deep and then suddenly launch a counter-attack. Sometimes they only need a moment or two. You have to be aware of that.
"They have a lot of individual quality, but I think Bayern is better as a team."