The Dutch giants travel to Germany for the clash sitting bottom of Group D after picking up one point so far, but PSV are in good form.
They have not lost in their last five matches and Cocu has demanded his team fight for every ball.
He told the club's official website: "We did not make the trip to Munich to go into the game only to defend deeply.
"Bayern will always score a goal, even against a very well-organised and stubborn defence. Of course we must do our very best in defence, but we should also have attacking ideas.
"We should not be naive, but show courage and fight like men. We must think out an appropriate attacking game plan so that we can create chances as well."