"Mario is already one of the best 10 players in the world, so it was a shock for us," Hummels told Sky television on Friday. "I've hardly slept at night.
"To lose a player who knows exactly how we think, who was raised by the club and, despite that, prefers another club, makes it really difficult.
"When Shinji Kagawa left (for Manchester United) or if Robert Lewandowski goes, that is something we can grasp as they are not from Germany. But that one was tough for us."
Dortmund confirmed last week that 20-year-old Goetze, raised at the club and one of Germany's top young players, was heading for fellow Champions League finalists Bayern in July.
Goetze made his debut in 2009 and helped Dortmund win successive league titles in 2010/11 and 2011/12.
"I think Mario's move is a sign that we are still not seen as one of the world's top four or five clubs," added Hummels.