The Brazilian defender and club captain acknowledged the nine-goal thriller left PSG drained, but insisted the one-goal advantage means nothing without the right mentality in Munich.
"Every football fan loves a game like that," Marquinhos said. "It was a crazy game — two teams who play similar, aggressive and intense. We are so happy that we were able to come away with the win."
PSG raced into a 5-2 lead before Bayern Munich pulled back to 5-4, leaving the reigning European champions relieved as much as satisfied at the final whistle.
"We are frustrated with the goals we conceded but we still have the one-goal advantage. We need to go in with the right mentality."
Marquinhos was quick to credit the quality of PSG's own attacking play, with Khvicha Kvaratskhelia and Ousmane Dembélé both scoring twice on a night that broke the record for goals in a Champions League semi-final.
"We are really happy with the quality of the goals we scored."
The PSG captain expects no let-up in the second leg at the Allianz Arena, where Bayern will have 75,000 supporters and a one-goal deficit to overturn.
"I think next week will be the same crazy game — two teams that want to score. We need to go there with the same mentality and personality so we can get the same amazing job done."
Marquinhos also issued a practical warning to his teammates ahead of the trip to Munich.
"We need a lot of effort to win. We need to rest because this game made us tired."
PSG have beaten Monaco, Chelsea and Liverpool on the way to the last four and will travel to Bavaria knowing a repeat performance could send them to a second consecutive Champions League final.