Coman came off the bench as Bayern recorded a 3-0 win over Lyon in the semi-finals in Lisbon on Wednesday.
The 24-year-old came through PSG's youth system and made four senior appearances for the club before joining Juventus and then Bayern.
Coman said he was entirely committed to Bayern despite the connection to PSG, who they face in Sunday's decider.
"It's a nice poster," he told RMC Sport.
"My heart is 100 per cent Bayern."
Lyon were left to rue missed chances against Bayern before Serge Gnabry scored a brace and Robert Lewandowski sealed the win.
A five-time Bundesliga winner with Bayern, Coman is eager to add the Champions League to his collection.
"It's a great moment, we really wanted to go to the final. Now you have to win it," he said.
"The work is not finished, we have to win it otherwise we will have done all this for nothing.
"We knew it was going to be complicated, they played on their qualities, luckily they didn't score and we were efficient."