Kadidiatou Diani and Melchie Dumornay propelled the reigning French champions to a 2-1 victory in the first leg at the Emirates Stadium on Saturday.
Despite Mariona Caldentey’s goal for the Gunners, it wasn't enough to spark a comeback, leaving their hopes of ending an 18-year wait for European glory looking slim.
The experienced tactician admits his team had to "suffer a little" to secure the win against his former side, but insists Lyon won’t be complacent, as there's still plenty at stake when Renee Slegers’ Arsenal team visits.
"I look at an advantage we are taking to the second leg, but it's not finished yet, there is still a lot of football to play and a lot of emotion to go through next week," Montemurro told Flashscore.com
"We were expecting a tough game. We came to win, but today was a very difficult gam,e especially twenty to twenty-five minutes in the second half.
"Arsenal really put on us a lot of pressure and we had to suffer a little bit in the game, but in the end we got through."
Although the eight-time Women's Champions League winners took an early lead, it was the hosts who dominated possession and appeared more dangerous.
Arsenal's relentless pressure paid off in the 78th minute when Caldentey converted a penalty after goalkeeper Christiane Endler fouled Leah Williamson.
Four minutes later, Dumornay put the visitors back in the lead with an assist from Amel Majri.
When asked if Arsenal’s equaliser caused him to panic, Montemurro replied: "Look, it was just to reset the shape, have a look at changes we could make to get back on top.
"We were pretty calm, and we weren’t over the top in terms of not worrying about the result. We just set out to make sure that we set up the shape."
Before the first leg of the semi-finals, Lyon had won the Division 1 Feminine a record 17 times. Their victory at the Emirates Stadium also extended Les Fenottes' unbeaten streak to 11 games in all competitions.
The 55-year-old reveals the reason behind his team's remarkable winning streak.
He said: "I think the mentality of the group to be the best they can be, the mentality of the group to want to be better and the ability for them to understand each occasion, has been very good.
"We have to prepare normally. We have got the advantage, but we have to put in a good week of training and look at the area where we can fix and hopefully take it on."
The second leg will be held on April 27th at Parc Olympique Lyonnais, with the winner facing either Chelsea or Barcelona in the final at Estadio Jose Alvalade in Lisbon on May 24th.
Lyon have advanced from each of their last 11 Women’s Champions League semi-final ties since being knocked out by Duisburg in the 2008/09 season.
Before the potential showdown, they will take on Nantes in a dead-rubber league match four days earlier.
