Bayern scored four first-half goals as they humiliated Dortmund 5-0 on Saturday to go a point clear in the race for the Bundesliga trophy.
Dortmund were two points clear prior to kick-off at Allianz Arena, however, Favre's team were put to the sword in the 100th league edition of Der Klassiker - Robert Lewandowski's brace inspiring Bayern.
Afterwards, Favre told reporters: "The 5-0 is difficult to understand but it is well-deserved. Congratulations to my colleague.
"You clearly have to say that this was a lesson for us. We had the chance to score the first goal which could have changed the game.
"Bayern kept dominating the game with more speed and better movements. They played on a higher level. It was a lesson and after 4-0 it's tough to come back in the second half."
"We have to focus on the next game," Favre added. "Today we were probably too concentrated and we were thinking too much about the title.
"We are still facing six difficult games, it was always tight until now, also the last game against Wolfsburg or in Berlin. We have to focus on the next game, we cannot change it now.
"We have to give our best but only think about the next game. And don't think about constellations."