The centre-back had to be replaced after 25 minutes following a clash of heads with team-mate Emre Can as the Reds suffered a 3-1 penalty shoot-out loss on Sunday evening.
Despite clearly being dazed after the collision, Sakho was determined to continue and flung his water bottle in anger when he was told he would need to come off with Kolo Toure his replacement.
The France international understandably did not want his first final appearance at Wembley to be cut short, but Liverpool rightly opted for the safety-first route.
"In the situation, we had to make the decision," Klopp explained.
"At half-time, he said it was the right decision, but when we took him off he said it was the wrong decision.
"He had a knock against his head and in this moment you should not ask the player.
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"Everybody understood and thought it was better to take him off. He was struggling in this moment and it was not too healthy."
On the 26-year-old’s current condition, Klopp said: "I’m not too sure at this moment, but he looked better after the game."