The bookmakers have the Kangaroos at 1-4 to lift the trophy at Old Trafford on November 30 but Sheens, in England to support the Festival of World Cups, believes the competition is wide open.
Sheens, who took over from Ricky Stuart after Australia lost to the Kiwis in the 2008 final in Brisbane, said: "New Zealand are definitely going to be the team to beat, no matter what anyone says. We're not world champions, New Zealand are and I can tell you they'll be very strong."
He added: "I've seen their squad get stronger and stronger as they've blooded the younger blokes over the last two years. They've got three options at half now in (Benji) Marshall, (Shaun) Johnson and (Kieran) Foran, a massive pack of forwards and speed and size in the outside backs.
"They've hired (Ivan) Cleary as the assistant, which is a good move, and (Stephen) Kearney has changed his captaincy this year so they're rocking the boat a bit to shake out any issues. And generally when you defend a title, that will be a different New Zealand side."
Sheens also believes the Kiwis have been fortunate with the draw, having been paired with France, Papua New Guinea and Samoa in Group B.
Australia are in the same group as England, Fiji and Ireland and, although three teams qualify for the quarter-finals, the group winners will earn an easier passage through to an anticipated semi-final.
That makes the Kangaroos' opening game against England at the Millennium Stadium a must-win fixture, according to Sheens.
"Obviously you want to win that first game," he said. "It pretty much means you not meeting New Zealand until the final.
"They will pretty much come through unscathed from their side of the pool so one of us is going to have to end up playing them to get through."