The 45-year-old says the 1-1 draw with Manchester City earlier this season gave his side the belief that they could compete with Europe's finest teams
The German giants finished first in a tough group containing Real Madrid, Manchester City and Ajax and saw off Shakhtar Donetsk, Malaga and Real Madrid to reach the final.
They failed to make it past the first phase last term and the 45-year-old feels their 1-1 draw at the Etihad Stadium was the turning point for the squad.
"The best feelings we've had so far were when we made it into the second round, because it was pretty special how we managed to do it," he told Uefa.com.
"The way the team played in the group stage was pretty surprising, and the match at Manchester City was an eye-opener for us - it showed we could compete with the strongest teams in Europe or even achieve more against them."
Klopp went on to say that he feels no need to adapt his side's game for the final clash against domestic rivals Bayern Munich.
"We have never adapted to our opponents, neither have Bayern, so why should we do it now? Just because it's a final?
"The trick is to treat it like a normal game, but execute it in a special way, and we will do that. And that will be decisive."
Bayern and Dortmund kick off at Wembley at 20:45CET on Saturday.