The German side secured their win thanks to a second half strike by Martina Mueller.
The win ends a run of 118 games without defeat in all competitions for Lyon, who won the competition in 2012 and 2011.
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.