The Reds take a commanding 5-2 lead to Stadio Olimpico on Wednesday and are the overwhelming favourites to advance to the final.
But, having seen Barcelona crash out at the same venue in the quarter-finals, Klopp is well aware of what can happen if his team fail to start with the intensity that saw them dominate at Anfield.
Barca had a 4-1 first-leg advantage dramatically erased by the Giallorossi, who won 3-0 on home soil to advance on away goals.
"I'm not here to say anything about Barcelona, they are the Spanish champions and didn't do a lot wrong this season, but maybe Roma were more ready," Klopp said.
"Barcelona maybe thought it was decided. Everyone is telling us it is quite difficult, but nobody told Barcelona 'it's possible to beat you 3-0 or 4-0' because nobody could imagine it could happen.
"I didn't need a warning but if it was needed, that's the warning."
Liverpool had their own brief scare in the quarter-finals after conceding early at Manchester City and then surviving appeals for a penalty that could have rubbed out the second of their three-goal first-leg buffer.
They eventually steadied to secure a comfortable success, with Klopp acknowledging the inherent uncertainty of the Champions League.
"It's not that we needed the City game to know about it. It's the nature of the game, it can turn in any minute," he said.
"It's all on us to be active and do what we are good at. We're really difficult to play and it's just like it is. There's no perfect plan for us, you can't say you do it like this and it works 100 per cent. You can only work on probability.
"We have to play and if you really want to win you have to accept you could lose."