The U.S. Open title holder seemed unbeatable in the desert two weeks ago until a startling collapse featuring six dropped strokes in eight holes let in unheralded Frenchman Gary Stal for a maiden European Tour victory.
"When you lead by six shots overnight and start off birdie- birdie-par-birdie you almost feel like not much could go wrong," Kaymer told reporters ahead of the Dubai Desert Classic that starts on Thursday.
"In golf that little bit of too much confidence can hurt, it's a very fine line."
Kaymer, who also landed the U.S. PGA Championship crown in 2010, said his Middle East meltdown would make him an even tougher competitor in the future.
"I would have got a little more money, a few more ranking points and another trophy in my house but that Sunday will be better for my future," said the world number 12.
"By Monday evening I knew the reasons because I had plenty of time to reflect. It's very important to realise what was going wrong but also that you talk about it and actually speak the words."
Kaymer, who showed nerves of steel by holing a six-foot putt to win the Ryder Cup for Europe in Illinois in 2012, said Rory McIlroy also learned a valuable lesson after letting slip a four-shot lead in the closing stages of the 2011 U.S. Masters.
"It was shocking to see but I'm sure he gained from that disappointment," the German added.
"A lot of people put it always in a negative light. The result is not good but there's a lot more behind it than just the result."
McIlroy has showed his mettle since, rising to number one in the world by winning four majors including last year's British Open and U.S. PGA.
(Editing by Tony Jimenez)
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