PSG won the Champions League last year at Bayern's Allianz Arena home, thumping Inter Milan 5-0, but the Bavarian giants travel to the Parc des Princes in incredible form.
Bayern have won all 15 of their matches in all competitions so far this campaign, setting a record for the best-ever start in Europe's top-five leagues.
The 39-year-old captain said his side "don't have any fear" of the French champions, adding: "We love to play against PSG and we're playing to win."
Neuer, a two-time Champions League winner with Bayern, said the visitors have a clear plan to rattle PSG.
"We are both teams that like to have the ball, that's well-known, and perhaps we don't like to defend much," he said.
"There will certainly be opportunities to counter-attack. You have to be wide awake for that, and also try to have a good defensive structure against these strong and fast opponents.
"That's exactly how we want to hurt the Parisians."
Front-and-centre in Bayern's historic season has been the superb form of England captain Harry Kane.
Kane has 22 goals in Bayern's 15-game winning streak but has also been playing a greater creative role in the side, dropping deep to help out in build-up play.
Bayern coach Vincent Kompany told reporters Kane's "understanding of the role has evolved" this season.
"It's a bit of a mix of creating the conditions for him to do what he does really well, but ensuring he is where he needs to be to score goals," the Belgian said.
"Harry has a lot of experience and a good feeling for the game... Harry doesn't have a very different role to last year, but he's evolved in how he sees the role."