Rodriguez, 26, is currently on a two-year loan deal from current Champions League holders Real Madrid, whom he lifted the trophy with last season.
Die Roten face Besiktas in the last-16 round of the competition next Tuesday for their first leg tie and their Colombia international star feels they have sufficient quality within their ranks to secure the most coveted title in European football.
"Bayern is my favourite to win the Champions League," he told Sport Bild "We have a super team with top players. Why shouldn’t we win the Champions League?"
Rodriguez has scored four goals and registered eight assists in 24 games across all competitions for Bayern this season.