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."
"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.
"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."
