Neville claimed that the Reds would have a better chance of ending their near-three-decade wait for top-flight silverware if they sacrificed the European Cup.
Liverpool boss Klopp, who guided his side to the Champions League final last term, is bemused by the pundit's comments as he looks ahead to Tuesday's showdown with Paris Saint-Germain.
"How would that work? We don't play Champions League or what? Gary should come over and tell me exactly how that works," he told reporters. "How do you prepare for a game when you don't focus on it? I don't understand, do we play our kids or what?
"I don't want to be too critical as I don't know exactly what or why he said it, but it's a bit silly, sitting in an office talking about football, it's different to doing the job."
Klopp's side lost 3-1 to Real Madrid in last season's Champions League final, while finishing fourth in the Premier League.