The German side take a commanding 4-1 lead to the Santiago Bernabeu thanks to Robert Lewandowski's four-goal haul in the first-leg last week and Klopp is confident his players have built up enough big game experience over the past few years to ensure the big stage doesn't get to them.
"I don't think any of our players have played in a Champions League semi-final before, but for us it a similar situation to the German Cup final last year," said Klopp, whose side drew 2-2 in Madrid in the group stage.
"Then we had to face Bayern Munich after we had won the league and they were giving everything, but my players were very cool on that day because the only way to achieve your dream is to be brave so that is what we try to do.
"We could lose the game of course, but the way you lose the game is more important. The players can only give their best and I have no doubt they will do this."
With a three-goal advantage the obvious gameplan for Dortmund would be to sit back and wait for their opportunities to counter-attack, but Klopp said they will go in search of the away goal that could seal the tie.
"We will neither go out to defend or attack. We have to wait and see what happens during the match and it would be silly for us to say what we are going to do just now. We have great attacking potential and if we need it tomorrow we have the necessary strength.
"The important thing in football is balance. When we attack, we all attack.
When we defend we all defend."
Should Dortmund make it to Wembley for the final it would seal a remarkable recovery from a club that was close to bankruptcy as recently as 2005 and if they withstand the expected onslaught from Madrid, Klopp believes it is their qualities as a team that will have proved decisive against the Spanish champions.
"No one could have imagined we would be here some years ago. We need to focus on tomorrow's game, we haven't achieved anything yet and we are only halfway. Something historic will happen tomorrow either way, it will be a historical feat if we qualify and if we are knocked out.
"We have a very good team but we know the best individuals don't win but rather the team that gives the best collective effort."