However, with Liverpool's top-four hopes resting on positive results against Chelsea and Brighton and Hove Albion in their last two league games of the season, Klopp is not thinking about facing Madrid just yet.
"I'd love to change that but the most important game in my career is the Chelsea game on Sunday," he told a news conference. "That's how it is. And then Brighton could be very important as well.
"It will be a very important one, for sure, but we had a few important ones already, not only here. I had them in Dortmund and some very important games with Mainz."
Reflecting on that Dortmund defeat to Bayern five years ago, he added: "We'll give the game the right size when we play it. I'm really not in a Champions League final mood, obviously, but I will have a look at what I did in the years before and change everything!"
A win this weekend will guarantee Liverpool's place in the top four and a return to next season's Champions League, regardless of the result in the final in Kiev.
Klopp admits it is important to be in the competition in order to help to sign priority transfer targets for next term.
"There is a financial thing but we want to be there, to play the best teams in Europe," he said. "It's the biggest club competition and we want to be part of it. If you cannot be champion, you want to qualify for the Champions League and we worked really hard the last two years for it.
Incredible scenes.— Liverpool FC (@LFC) May 4, 2018
5,000 travelling Reds celebrate in Rome. pic.twitter.com/ImjZvXWgbw
"We battle and challenge with the best football clubs in the world and whatever you can do to be in a better position to get these players, you should do it. In the moment, we're quite attractive, we pay good wages, transfer fees absolutely okay so we can go for a few really good players, but you can imagine other teams are interested as well.
"If you're qualified for the Champions League, it's easier to convince players. That's clear."
Klopp also ruled out the prospect of resting any players against Antonio Conte's side in order to save them for the Madrid meeting.
"No, not possible," he said. "I see two semis again, against Chelsea and Brighton, very important, no chance to think about anything else.
"Of course, it's an advantage for Chelsea not playing in midweek, but we had a big success, even if we lost the game.
"We need to be ready for Chelsea and it could be the same intensity to Rome. Chelsea need to win and we want to. We can make life easier for us if we get a result, but it was always a difficult place [to come]. We try everything to be 100 per cent ready for that game."