FC Bayern Worldwide, which revealed the protest last week, did not enter the Emirates for the first five minutes of the match which had a £64 ticket price.
There was applause by Gunners fans when the group eventually took their seats.
Bayern's fans also displayed a banner which read: "£64 a ticket. But without fans football is not worth a penny."
Arsenal manager Arsene Wenger's side won the game 2-0.
"I will speak with Wenger for next time to make it cheaper for our fans," said Bayern boss Carlo Ancelotti.
"We will take care of Arsenal fans in Munich with a good price. They can travel."
A BBC Price of Football study, which analysed costs at 227 clubs across Britain and Europe, found that Arsenal have the most expensive match-day ticket in the Premier League at £97.
In contrast, Bayern Munich's cheapest season ticket in the Bundesliga is £140.
Earlier this month, the Football Supporters' Federation coordinated protests at all 20 Premier League clubs and 10 Championship teams, to call for a £20 cap on away ticket prices.
A Bayern Munich fans' group turned up late for their Champions League group match at Arsenal in protest at ticket prices for the game.