Bayern had set their sights on the Champions League in December 2010 when club president Uli Hoeness mapped out their target of lifting the trophy in their own stadium in 2012.
But 18 months later, that dream turned into an "absolute nightmare".
Bayern started with five youth academy products in the side and despite dominanting much of Saturday's game could manage only a 1-1 draw with Chelsea before they were beaten in a penalty shootout.
"What happened to us is an absolute nightmare," said Bayern sports director Christian Nerlinger. "The disappointment has gone very deep. It is like a bad movie and it will be very difficult to digest this defeat."
Local boy Thomas Muller had given the Bavarians an 83rd minute lead but Didier Drogba levelled for Chelsea two minutes from time. Dutchman Arjen Robben's penalty miss in extra time gave Chelsea the chance to snatch the title in the shootout.
Germany captain Lahm had said before the game that without a major title they would never be remembered as a "golden generation."
Lahm and Schweinsteiger, who along with younger Toni Kroos, Muller, Diego Contento and suspended Holger Badstuber, came through the club's youth ranks, have also got runners-up medals from Euro 2008 and two third place finishes at the 2006 and 2010 World Cups behind them.
"We will build the boys up. With us they can still win a title," said Germany team manager Oliver Bierhoff.
