Bayern cruised to a 4-1 win over Cologne to Saturday to make it four straight league games without defeat since April 11, when Dortmund beat them 1-0 to effectively seal the title.
In that time, the Bavarians have also booked their spot in the Champions League final against Chelsea, after seeing off Real Madrid on penalties in the semi-final, and also have the DFB-Pokal final against Dortmund to look forward to.
And with those two crunch clashes fast approaching, Heynckes admitted it was imperative Bayern remained in good form even though their Bundesliga title hopes had ended.
"Although we lost the championship to Dortmund, my team has continued to work hard in the last few weeks and have taken things very seriously," Heynckes said after the win over Cologne.
"Today [Saturday] we showed we were able to maintain the rhythm and play with a lot of tension ahead of both of our finals.
"We have big goals in us and we came to Cologne to win."
Bayern play Dortmund in the DFB-Pokal next Saturday, before facing off against Chelsea a week after.