PSG claimed an emphatic 3-0 win in Paris on Wednesday as former boss Carlo Ancelotti's return to the French capital ended miserably thanks to Edinson Cavani and the world's most expensive player.
After a spat over penalty-taking duties Cavani and Neymar renewed their strike partnership, and both stars were on target against the Bundesliga champions following Dani Alves' second-minute opener at Parc des Princes.
The resounding triumph made it two from two without conceding a goal in Group B for PSG and Al-Khelaifi was cautiously optimistic after the game.
"Neymar? Everyone knows him. He's a great player. The best in the world. But the others also had a great game," the PSG chief said.
"We are happy with the victory and the work we have done. I am very happy with the game we played against a great team. We are very proud. But we have not won yet.
"Now we want to finish first in the group. We must continue to work, and progress every day. We have shown that we are there. But we must keep our feet on the ground.
"A message to Europe? We do not want to send a message. We only think of ourselves."
Coach Unai Emery stated, meanwhile, that he was pleased to see PSG remain on track to grab top spot in their group.
"We got the three points and that's great," he explained to reporters.
"We wanted to win to move top of the group, and that's what we did. It was important for our supporters to enjoy a match like this, against a quality European opponent.
"We adapted very well to Bayern's tactic of playing very high up the pitch against us. We answered their possession with a very aggressive defence, with [Alphonse] Areola in goal and a disciplined line of four defenders.
"Our three midfielders got through a mountain of work and, obviously, our three forwards played a magnificent match and made the most of the spaces in behind. Everything worked perfectly tonight."