The Bundesliga runners-up suffered an embarrassingly heavy defeat at the hands of double-winning Dortmund, a fifth straight loss to their rivals, just a week before they take on Chelsea in their own Allianz Arena for Europe's top prize.
"Obviously this defeat is very painful," disappointed Dutch winger Arjen Robben told reporters.
"It is frustrating and we need to process this quickly because from Monday onwards, there is only one direction and that is the Champions League final."
While Bayern have been sensational in their run towards what could be a fifth European crown, they have played second fiddle to Dortmund in Germany all season.
An error-strewn performance, where sloppy mistakes gifted Dortmund three of their five goals, did little to boost their confidence ahead of what is the biggest match of the season and the only way to rescue their campaign with some silverware.
"It was our own fault. Only we are to blame for losing the league and cup titles," playmaker Bastian Schweinsteiger said.
Mistakes such as Luiz Gustavo's back-pass that led to Dortmund's opener and goalkeeper Manuel Neuer's failure to hold on to the ball that allowed Robert Lewandowski to complete his hat-trick could prove equally as costly against Chelsea.
"Every goal was a slap in the face. It was an embarrassment but we need to draw the lessons from this defeat quickly," Bayern CEO Karl-Heinz Rummenigge added.
Coach Jupp Heynckes, who fielded a full-strength team against Dortmund, knows it will be even harder against Chelsea as left-back David Alaba, central defender Holger Badstuber and midfielder Gustavo are suspended for the final.
"The game against Chelsea will be a completely different game," assured Heynckes, who led Real Madrid to Champions League victory in 1998.
"Obviously my players are disappointed but we will have recovered from this shock by next week. We cannot allow ourselves the same mistakes."
