Dortmund currently sit second in the Bundesliga, a point behind Bayern Munich, and second in their Champions League group, level on points with Wenger’s side.
And Klopp, whose team face the Gunners on Wednesday having already beaten the north Londoners at the Emirates Stadium, says he "loves" Wenger yet prefers "English, rainy-day football" where everyone fights for the ball.
"He is really something. I love him. He is Sir Arsene Wenger. He is 'hello (making a handshake gesture)'. I’m this guy," Klopp told reporters.
"But he likes having the ball, playing football, passes... it’s like an orchestra," gesturing as if playing a violin, "But it is a silent song. I like heavy metal more. I always want it loud.
|21/1||Arsenal are 21/1 with BetVictor to beat Dortmund 1-0|
"To enjoy football you have to do this. He can win, he can win, post, goalkeeper, save — that is what I love. If, in the last four years, Barcelona were the first team I saw playing when I was four years of age — this serenity of football, they win 5-0, 6-0 — I would have played tennis.
"It is not my sport. I don’t like winning with 80 per cent [of possession]. Sorry that is not enough for me. Fighting football, not serenity football, that is what I like. What we call in German 'English' — rainy day, heavy pitch, 5-5, everybody is dirty in the face and goes home and cannot play for weeks after."
Klopp also admits he received offers from other clubs in the summer but suggests he only had eyes on extending his current project with the Champions League finalists.
"Clubs from other countries were also interested. You know these clubs, they changed coaches last season," he continued.
"We want this club to stay in the race against these unbelievably strong teams. There is no chance to be the best team in the world in the next 50 years like Barcelona or Bayern Munich. We need too many things.
"The more interesting thing is that we can be a team which can beat the best in the world. You always want to beat the team with more money. What we have done in five years is write a history, a story that maybe in 100 years people will know about.
"We can go now and try to do the same at another place – but we have started this and now we have the chance to make the next step."
The 46-year-old acknowledges that Dortmund are not the best in the world, but believes working hard, running further than your opponent and giving your all can bridge the gap.
"I am a very emotional guy. What I love, I do with all I have," he added. "I fight for justice. It’s a very important point for me. You give all, there’s no guarantee that you get all but if you give all maybe you can get something.
"If you don’t have to give all to win and you still win, what’s this? It’s like this (he yawns). It’s only interesting for people if it’s close — and at the level we play against Bayern and Arsenal and all these other teams it always is.
"And if it’s close, how do you make the difference? You cannot make the difference because you have the better ideas or a genius moment. You make the difference if you work more than others.
"It’s not the most important stat but I love it when I read that we run more than the opponent. You can get respect if you do this and you have more chance to be successful."