The Bavarians have won the Bundesliga and reached the German Cup final, but their 1-1 draw with PSG in Munich saw them eliminated from Europe's elite club competition 6-5 on aggregate.
"It is normal to be disappointed, it was such a big goal, and it cost a lot of energy," Kompany told a press conference on Friday. "But from the next day, it is only about the future.
"My role is to project that and how we must react."
Kompany was criticised for playing too high a line and leaving gaps at the back in the two matches against PSG.
Bayern have conceded 12 goals in their last four games in all competitions, but the Belgian said he would not change the way his team plays as long as they are scoring more goals than the opposition.
Bayern have shattered the record for most goals scored in a Bundesliga season with 116 so far and two matches remaining. The previous record was 101 set in 1971/72.
"We are very pragmatic people in Belgium. If the goal difference (in the Bundesliga) is an all-time record of 81, then you have done quite a lot so as not to lose matches," Kompany said.
"We win the games, and the goal difference shows that we do it with a great difference against our opponents."
Bayern travel to struggling VfL Wolfsburg on Saturday in the penultimate match of the Bundesliga season before wrapping up their league campaign against Cologne a week later.
They then travel to Berlin to face VfB Stuttgart in the German Cup final on May 23rd.
Kompany said it was important for the side to show they have moved on from the Champions League exit.
"We want to show that this is already in the past and it is about what we can still achieve, not only in the next weeks but beyond," he added.