The Blues won the game following a penalty shoot-out at the home of the German side.
Bayern Munich were expected to win the game in normal time after Thomas Mueller headed home a lead in the 83rd minute.
But Didier Drogba headed in to take the game at the Allianz Arena to extra-time.
Chelsea keeper Petr Cech saved a penalty from Arjen Robben in the extra 30 minutes.
It was a draw after both team had taken five penalties each in the penalty shoot-out.
Bastian Schweinsteiger, who took Bayern’s sixth penalty, had his saved by Petr Cech.
Didier Drogba scored on his penalty, to make it a 3-4 win to Chelsea on penalties.
