The Germans were beaten 2-0 by Real Madrid at the Santiago Bernabeu on Tuesday night but advanced to the competition's conclusion 4-3 on aggregate.
Despite their second-leg defeat, Klopp has no doubts that the Bundesliga outfit are worthy of a place in the final.
"It was a bit dramatic in the end, despite having a lot of counter-attacks that led to opportunities to take the lead," Klopp told Sky Sports News. "We have ourselves to blame for allowing Real back into the game, as we missed a couple of sitters.
"However, Dortmund apparently is an all-inclusive club, so we always make things exciting, one way or the other.
"They had a lot to make up for after the first leg but we deserved to go through on aggregate. We deserve to be in the Champions League final."
Dortmund will face either Bayern Munich or Barcelona in the final.