Klopp believes that his side can reach the Wembley showpiece, but insists that they are taking nothing for granted and will still give their all against Madrid.
"I'm sure we won't [freeze]. We played Bayern Munich in the German Cup final last year when we were champions. They really wanted to beat us in the game, as they had all season, and my team was pretty cool in this moment (Dortmund won 5-2). The only way to reach your dream is to be brave," said Klopp.
"Real Madrid believe they can come back against us. And, if they believe so, they will act accordingly. We are ready for Real Madrid to try everything they can and we do not feel that we are already in the final.
"We feel the first-leg result was much better than expected. We know we will have to fight tomorrow with our best strengths. We know we are not a normal semi-finalist and will behave accordingly."
If Dortmund can avoid a defeat by three or more goals tomorrow night, then they will face either Bayern Munich or Barcelona in the final.