Los Blancos will aim to pick up a third consecutive crown, while the Reds will be hunting for the club's sixth European title.
This Saturday, Jurgen Klopp's team will head to Kiev as underdogs, but they have obliterated many teams in the competition, including Porto, Manchester City and Roma.
"We'll see what happens after the final. They'll either kill us or praise us," FourFourTwo quotes Marcelo as saying. "I don't think this season can be considered a disaster.
"It's the media who will say either one thing or another, but we simply want to win for the club, the fans and our families."
In La Liga, Madrid had a disappointing campaign, finishing 17 points behind title winners Barcelona.