Bayern overcame Lyon 3-0 on Wednesday night to book a meeting with PSG, who won by the same scoreline against RB Leipzig the previous night.
In what will be a battle between the German and French champions, Davies is predicting goals as Bayern chase a first Champions League since 2013 and PSG a first ever.
"It feels good,” Davies told BT Sport. “Everyone is happy and playing well. We are happy to make it to the final. PSG is a good team, right now we celebrate a bit then we focus on the next game.
"It will be a good game, there will be goals in that game. This is what you dream about as a footballer, playing with the best and against the best in Europe.
"It is a dream come true. Playing in the Champions League and getting to the final is everything you could ask for.
"Even though they (the older players in the squad) have won many many titles before they are still hungry to win this one."
A Serge Gnabry stunner opened the scoring against a plucky Lyon side who had their own chances in Lisbon.
However, Bayern punished the Ligue 1 side with Gnabry adding another in the first half before Robert Lewandowski rounded off the win with a second-half header.