The very bad performance of Germany in World Cup can affect Bayern Munich too. Germany have many players from Bayern and look at their performances in World Cup, it is not good for Bayern when they meet PSG in Champions League.
The bad ability to score goals in World Cup of Germany have contributions from Bayern players too. Their club will have to seriously filter good strikers in January transfer market and buy one to fill in a position left by Lewandowski, then Mane. Choupo-Moting is not a striker who is reliable enough in big matches. He did not get a position to play in PSG before moving to Bayern.
I would guess that being in the national team and being in the club is not the same thing. Being in the national team means that you play with the same players and still play differently with them, and that's what you do not expect, it makes it harder, even other players who you do not play with is better because you learn from scratch at least, but the ones you normally play and differently, end up being the hardest.
I guess that they are not really that much worried about this as a club, sure the players must be sad, and the fans are Germans so they are sad too, but the club will do fine no matter whatever has happened in the world cup.