Radja Nainggolan's late brace gave Roma a 4-2 win on Wednesday at the Stadio Olimpico but Liverpool prevailed 7-6 on aggregate at the end of a remarkable semi-final tie.
Nainggolan's earlier mistake allowed Sadio Mane to open the scoring and a 25th-minute header from Georginio Wijnaldum meant equalisers courtesy of James Milner's unfortunate own goal and Roma striker Edin Dzeko did not look like turning the tie around.
"The game was wild. It was clear they took all the risk. We punished it with the first counter-attack but we gave a goal away," Klopp told BT Sport.
"We can defend much better. There is a lot of space for improvement in our general defending, starting with the front line and the back four were too deep.
"We scored one and each counter-attack was really dangerous but we didn't use them. We are usually much better in these situations. We were a little bit impatient in these moments.
"But it's the first semi-final for most of the boys and it is completely normal that you have to try and keep your nerves.
"The boys deserve it for the campaign. The character they showed, the mentality they showed, the football they showed that's just crazy.
"It suits our situation that on aggregate it's 7-6. It's unbelievable."
That feeling when you reach the Champions League final! 😁 pic.twitter.com/aXBT24CoJu— Liverpool FC (@LFC) May 2, 2018
"I know everybody will remind me from now on that I've lost the last five finals," Klopp added.
"But life is like this. The only chance to win a final is to go there and we will try it again."