The Bundesliga champions are unbeaten in 10 league games, leaving them four points clear of second-placed Wolfsburg in the standings.
Pep Guardiola's side are also topping Group E in the Champions League with nine points from three matches heading into Wednesday's clash with visiting Roma.
"We are not unbeatable," said Robben, who scored the winner in a come-from-behind 2-1 home victory over Borussia Dortmund on the weekend.
"Today the situation is like this, but in two weeks it may look quite different.
"We must remain critical and always try to improve, not to relax and think we will march through easily and win the championship again.
"In the Bundesliga, each team fights for their position and for the points.
"We still have room for improvement, this is always the case. Sometimes we play really good football. We do not need to hide.
"In Rome we won 7-1 and we beat Borussia Dortmund, so we are on the right track. Nevertheless, we must not think that it just happens."