Bayern defeated Lyon, thanks to three goals from Serge Gnabry (2), and Robert Lewandowski (1).
The Bundesliga champions will now face Paris Saint-Germain in the Champions League final on Sunday.
Reacting to the development, Davies,19, told BT Sport after the game: “For me, it’s a dream come true.
“Playing in the Champions League and making it to the final.
“It’s everything you can ask for. It feels good; everyone is happy and playing well.
“We’re happy we have made it to the final. These guys have basically won everything, but they are still excited. They are still hungry to win this one.”