The Spain international was forced to limp out of Tuesday night's 2-1 DFB Pokal victory over Rodinghausen with the injury, and Bayern are fearing the worst.
Bayern boss Niko Kovac has confirmed Thiago will be checked over by the medical staff, and only then will the full extent of the damage be revealed.
"He's in a lot of pain at the moment, but we will wait and see what the examination reveals [on Wednesday]," Kovac told reporters.
Bayern won the game thanks to goals from Sandro Wagner and Thomas Muller but the injury to Thiago was the talk of the town after the game.
Sporting director Hasan Salihamidzic also told reporters: 'We don't know what it is yet, but it doesn't look good.'