"Yeah, I asked for it, but I think he was a little upset," Davies told BT Sport. "It's OK, though. Next time, hopefully."
The Canada international had a quieter match against Lyon than he did in a dominant showing against Barcelona, but that didn't stop his rampant Bayern side from rolling into a record-tying sixth final in the Champions League era (since 1992-93).
After the match, Davies said, "It feels good. Everyone is happy and playing well. We are happy to make it to the final. PSG is a good team. Right now, we celebrate a bit. Then we focus on the next game.
"It will be a good game. There will be goals in that game. This is what you dream about as a footballer: playing with the best and against the best in Europe.
"It is a dream come true. Playing in the Champions League and getting to the final is everything you could ask for. Even though they [the older players in the squad] have won many, many titles before, they are still hungry to win this one."
Both Bayern Munich and PSG will be going for a season treble after the two sides won their respective league titles and cup competitions.