Thiago was forced off midway through the first half of the 2-0 friendly victory in Alicante and a scan on Saturday showed swelling on the medial collateral ligament.
The 24-year-old playmaker's career has been disrupted by a series of knee and ankle problems and he missed last year's World Cup finals in Brazil after needing surgery to repair ligament damage in the same knee.
"Fortunately I will be out just for a few weeks," Thiago wrote on his Twitter feed (@Thiago6) on Sunday.
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Bayern's next match is a Bundesliga clash at Schalke 04 on Saturday before they host Olympiakos Piraeus in Champions League Group F three days later.
(Reporting by Iain Rogers, editing by Toby Davis)
