You don't necessarily need to approach, you can ease your way in and weave around. Bullets are pretty linear and deal very little damage anyways, don't worry about a handful or two clipping you. Continue to dash in and out to bait stuff out from her, try to learn extended dash dancing/dance trotting if you don't already and use it as a movement tool to weave into her range and out and punish what she does. (
https://www.youtube.com/watch?v=azRrqKUJ-5o). You also have empty hops and run+shield that are very useful, use those more if you can't EDD/dancetrot yet. She doesn't get much off throws, while she gets everything off a good hit. Use shield a decent amount, but avoid excess shielding or shielding habits.
Full hop airdodging around is really good, especially from a dash to carry momentum, it should help you weave around Bayonetta and look for better windows and positioning, you can also come down after a full hop airdodge with aerials which is key to start nair/uair combos.
Movement is key in this matchup, you don't always need to swing or keep hitboxes out, but they're good to keep around you as a part of moving around. Nair shuts down some of her stuff, if hit 1 hits a smash attack then it'll clank and the smash won't work while nair hit 2 will likely clip Bayo. Focus more on not getting hit than hitting them. This applies to a lot of the game in general, but it's key to this matchup from what I'm seeing in my replays.
Witch Time is susceptible to multi-hit moves, so things like nair and up smash will greatly aid you against potent attempts. Holding smashes for just a bit longer to catch the window of vulnerability is key if they like Witch Time a lot in neutral, this applies to all counter matchups. The power creep of the recent DLC counters means people will use them more as they're better options than before, keep this and mind and try to keep those counters as predictable and punishable as possible. This applies to options in general, people will go for the best options heavily which means some occasional weird stuff or gimmicks will always have their place.
Play patient against ones who like to fish for Witch Time and smash attacks, those have windows for beefy punishes and they're really not worth getting hit by. She has trouble killing with much else from what I've seen, so you can push a stock lead by playing patient against those. Recovering low is generally better against her, since she has more tools if you go high and one mistake could easily mean her stock if she flubs an edgeguard and gives you high ground, because of different aspects of her recovery. If she starts going deep with edgeguards, you can recover high,
but only when she goes offstage.
For her side-b autocombos, try to DI out and jump away/airdodge. You can do all three at the same time. I need to experiment with using aerials to escape. If she likes to go for her side-b a lot, shield beats it, and you can either punish the endlag or follow and punish what she does next. If she has any habits after side-b, exploit them as much as possible.
Her held up air/nair which keep leg hitboxes out can't be airdodged through without a lot of horizontal or vertical momentum, try and hit her with an aerial during those if you're above ground.
If she dthrows you, you can sometimes hit her with an up air in retaliation, preferably sweetspotted to follow into more.
Try to fastfall to land and just get on the ground, and weave around her when landing. Bayonetta below you is annoying and a lot of her stuff is much safer that way.
and 
Use the negativity to get motivated to prove them wrong instead of demotivated!
