The former Liverpool captain warned that Mikel Arteta's side may need fortune on their side to lift the trophy in Budapest.
Speaking after PSG booked their place in the final, Gerrard described the French club as a "powerful" outfit following their dramatic semi-final triumph over Bayern Munich.
PSG edged through after drawing 1-1 in the second leg in Munich, having secured a thrilling 5-4 victory in Paris in the opening encounter.
The former Liverpool captain suggested Arsenal face an enormous challenge against the reigning European champions, despite the Gunners' own impressive route to the final.
Arsenal sealed their place in Budapest after overcoming Atletico Madrid 2-1 on aggregate in the semi-finals, continuing a strong European campaign under Arteta.
However, Gerrard believes PSG's experience and attacking quality make them favourites to retain the trophy later this month.
"Everyone expects PSG to maybe win it," Gerrard told TNT Sports.
"If you look at tonight's performance, you look at them winning it last year, the players they've got, you would have to say that the bookies will probably make PSG favourites.
"Obviously Arsenal have had the easier ride [to the final] if you like, but that's going to be some final at the end of the month, one for us all to look forward to, two different styles. Both deserve to be there, you have to say that.
"It's a possibility [that Arsenal win] but they're going to have to have a bit of luck. They're going to have to have things go their way on the night because this PSG team, they're just so good everywhere."
Paris Saint-Germain have progressed to the final of the Champions League with a 6-5 aggregate scoreline against Bayern Munich following their second leg 1-1 draw.
Bayern Munich coach Vincent Kompany remains motivated to try win the Champions League following the 6-5 aggregate semi-final defeat to Paris Saint-Germain.
Vincent Kompany has backed Mikel Arteta's view that English football operates in "a different world", as the debate over standards across Europe intensifies ahead of the Champions League final.
Paris Saint-Germain head into a decisive night at the Allianz Arena determined to stay true to their attacking identity, with manager Luis Enrique insisting his side will attack Bayern Munich.
