The Bavarians were demoted to a 4-2 loss at the Hands of Bayer Leverkusen on Wednesday, and Klinsmann was keen to encourage his players despite the defeat.
"There’s no point in giving the lads a rollocking, we have to pick ourselves up and move on," Klinsmann said after the Cup tie.
"Unfortunately, we have to write off the cup for this season. It means we’re left to concentrate 100 percent on the Bundesliga and the Champions League."
Despite leading Sporting Lisbon with a five-goal advantage after the UEFA Champions League last 16 round first-leg, Bayern are currently lying fifth in the Bundesliga.
The former Germany coach stressed that despite his team's underperformance on Wednesday, Leverkusen did more than enough to earn their win.
"Leverkusen piled on the pressure, they were very aggressive, and they pressed us in every area of the field. They never let us get going. They played well and deserved to win.
Klose Dismay
Striker Miroslav Klose, who scored Bayern's second goal, was clearly unhappy with his team's display.
"We lacked the willingness to run, and the bottle to make our tackles. We were always a yard too late, and that allowed Leverkusen to hit their stride," said Klose.
"We clearly did something wrong there. A performance like tonight’s isn’t good enough, we need to invest a lot more than that."
Watch Leverkusen vs. Bayern goals