Chelsea's dramatic 4-3 victory on penalties at the Allianz Arena, after the match finished 1-1 following extra time, ended Bayern's dreams of a fifth European title and their first Champions League crown since 2001.
"It's like a nightmare," admitted Bayern's director of sport Christian Nerlinger.
"When you see how the game played itself out, it's like a bad film.
"This is frustrating and depressing to digest. This defeat is very difficult to take."
The Bavarian giants have now lost two of the last three Champions League finals following their 2-0 defeat at the hands of Jose Mourinho-coached Inter Milan in Madrid in 2010.
"The disappointment is huge," admitted goalkeeper Manuel Neuer after Chelsea's Didier Drogba scored the winning spot-kick.
"The players were all sitting with their heads down in the dressing room, there wasn't much talking."
Bayern blew their second final in seven days as Ivica Olic and vice-captain Bastian Schweinsteiger missed penalties in the shootout which gave the Blues their first European title.
"That's football," said Bayern's Thomas Mueller, whose second-half header had put Bayern ahead before Drogba equalised two minutes from time as the game eventually went to penalties after extra time.
"As we have often seen in the past, it's not always the deserving winner who is left holding the trophy.
"It's hard to put the disappointment into words, but football isn't everything."
Since it was announced two years ago that Bayern's Allianz Arena would host the 2012 final, the Bavarians have dreamed of lifting the trophy 'dahoam' - meaning at home in the Bavarian dialect.
Having already conceded this season's German league and cup titles to Borussia Dortmund, defeat to Chelsea means this is the first time since the 1995/96 campaign Bayern have failed to win any titles in back-to-back seasons.
Bayern's domination of German football looks to be under serious threat by Dortmund as Jurgen Klopp's team have won the last two Bundesliga campaigns.
They have also beaten Munich on all of their last five meetings dating back to February 2010.
Bayern blew their bid to become both the first team since Inter Milan at San Siro in 1965 to be crowned European champions at home and the first club to lift the Champions League title at home.
The Bavarians have just two days now to pick themselves up before their friendly against World Cup finalists Holland back here at the Allianz Arena on Tuesday in a pre-Euro 2012 warm-up match for the Dutch.
The match was arranged as part of a compensation deal for Bayern after Dutch winger Arjen Robben returned from the 2010 World Cup with a hamstring injury which kept him out of football until early 2011.
Champions League final shoot-out as it happened
- Phillip Lahm (Bayern) scored 1-0
- Juan Mata (Chelsea) missed 1-0
- Mario Gomez (Bayern) scored 2-0
- David Luiz (Chelsea) scored 2-1
- Manuel Neuer (Bayern) scored 3-1
- Frank Lampard (Chelsea) scored 3-2
- Ivica Olic (Bayern) missed 3-2
- Ashley Cole (Chelsea) scored 3-3
- Bastian Schweinsteiger (Bayern) missed 3-3
- Didier Drogba (Chelsea) scored 3-4
- 01 Neuer
- 17 Boateng
- 21 Lahm
- 26 Contento
- 07 Ribery (Olic - 97' )
- 31 Schweinsteiger Booked
- 39 Kroos
- 44 Tymoschuk
- 10 Robben
- 25 Mueller (Van Buyten - 86' )
- 33 Gomez
- 22 Butt
- 05 Van Buyten
- 13 Rafinha
- 14 Usami
- 23 Pranjic
- 09 Petersen
- 11 Olic
- 01 Cech
- 03 Cole Booked
- 04 David Luiz Booked
- 17 Bosingwa
- 24 Cahill
- 34 Bertrand (Malouda - 73' )
- 08 Lampard
- 12 Mikel
- 10 Mata
- 11 Drogba Booked
- 21 Kalou (Torres - 84' Booked )
- 22 Turnbull
- 19 Ferreira
- 05 Essien
- 06 Romeu
- 15 Malouda
- 09 Torres
- 23 Sturridge