The German side advanced to the final after securing a 4-3 aggregate win over the Jose Mourinho's team despite losing 2-0 at the Bernabeu, as goals from Karim Benzema and Sergio Ramos made it a tense evening for Jurgen Klopp's men.
Grosskreutz told Sky Sports News: "They put a lot of pressure on us and scored two late goals.
"However, we are a great club and deserved to go through. I have not thought about Wembley yet. Let us celebrate now and think about the final tomorrow."
Dortmund will face the winner of tomorrow's semi-final between Bayern Munich and Barcelona in the final at Wembley.