Bayern went into the final, which was staged in their own stadium, with high hopes and expectations that they would end their 11-year wait for Europe's top club trophy.
But defeat on penalties left the Bavarian city in mourning and Rummenigge admits he still has not come to terms with the defeat.
"When I wake up, my first thoughts are always about this game," he said.
"The pain within our club is so strong, stronger than it was after we lost to Manchester United in the final of 1999."
Bayern led with seven minutes of the game remaining and even wasted a penalty in extra-time before succumbing from being 3-1 ahead in a penalty shoot-out.
To add insult to injury, Bayern had already missed out on the Bundesliga and been beaten 5-2 in the final of the DFB-Pokal, leaving them without a trophy for the second year running, and Rummenigge expects it to take a while before business returns to normal.
"I feel it is going to haunt us for a long time to come," he told the Welt am Sonntag newspaper.
"I lost two World Cup finals - 1982 and 1986 - and from my experience, I know that time heals wounds."