It is an English side against a German one - on Bayern's home pitch. There is only one winner there.
Although Bayern's penalties weren't brilliant against Real Madrid in the semi-finals, their goalkeeper certainly was, making astonishing saves from Cristiano Ronaldo and Kaka.
Manuel Neuer has amazing size, speed and reflexes. I cannot see him coming out on the losing side if it goes all the way.
Chelsea have only won two out of nine penalty shootouts, and have the demons of Moscow in 2008 to contend with.
At least this time John Terry will not be on the pitch. You can imagine him trying to get redemption, like Stuart Pearce at Euro '96.
But you cannot forget Stuart was Nottingham Forest's regular penalty taker and usually excellent from 12 yards. The same cannot be said for Terry, so from that standpoint they are lucky he is on the sidelines.
Chelsea have surpassed all expectations to reach the Champions League final, but they will not be able to use the tactics that got them there when they take on Bayern Munich.
They rode their luck to victory against Barcelona, but if they set out to defend and try to bore Bayern to death, they will come unstuck.
Roberto Di Matteo needs to add another string to his bow and get his side to express themselves.
Injuries and suspensions have left both sides vulnerable at the back, but you can only exploit that if you take a positive approach and try to attack.
For me, Gary Cahill has been one of the two best English centre-halves this season, along with Joleon Lescott, and was superb in the first leg against Barca.
But he has just come back from a hamstring injury, and that is not the sort of thing you can play through. I just hope he lasts 90 minutes.
We know what we are getting from David Luiz now - moments of magic mixed up with lapses in concentration.
He often uses his speed and athleticism to atone for poor positioning, but if he is lacking fitness he may not be able to do that. He really needs to be 100 per cent.
Branislav Ivanovic's absence is more serious than John Terry's, as it means either Jose Bosingwa or Paulo Ferreira will be going up against Franck Ribery.
Chelsea need to avoid their right-back getting into one-on-one situations, and the best way for them to do that is by taking the initiative and pushing forward.
Di Matteo's side cannot match Bayern technically, so they need to be direct and hope for a big game from Didier Drogba.
For all the amateur dramatics and acting up, Drogba is still a good player, but Di Matteo just needs to make sure he keeps his head.
Too many big Champions League games have ended in disgrace for Drogba, and this is a now-or-never moment for the 34-year-old.
It is doubly important for Di Matteo to get Chelsea playing with a bit of purpose, because he is fighting for the manager's job on a permanent basis.
We know that Roman Abramovich wants his team to be stylish - winning trophies through efficiency was not enough for him when Jose Mourinho was in charge.
Equally, you cannot get away with losing, even for a short time, as we saw from the ridiculous sacking of Carlo Ancelotti.
If Di Matteo wants to stay in the job he has to win with flair. Unfortunately, I just don't think Chelsea are up to it.