"If we want to go on to the knockout round ... we must get a good result," he told a news conference on Monday.
PSV, who reached the quarter-finals last season, have one point from three matches in Group D and were soundly beaten 4-1 at Bayern in their previous outing on Oct. 19.
"We must keep believing we can get a good result," said Cocu. "In Munich there were moments in the second half when we did really well.
"We go up against an absolutely top club and that is a tremendous challenge."
Five-times kings of Europe Bayern are second in Group D on six points, three behind Atletico Madrid.
Champions PSV are third in the Dutch league, having lost once in 11 matches. They trail leaders Feyenoord by five points and second-placed Ajax Amsterdam by two.
(Reporting by Mark Gleeson; Editing by Tony Jimenez; mark.gleeson@thomsonreuters.com; +27828257807; Reuters Messaging: Reuters Messaging: mark.gleeson.thomsonreuters.com@reuters.net)
