The Bundesliga side have a healthy 4-1 lead for the clash at Real's Bernabeu arena following their stunning victory in last week's first leg in Germany, when striker Robert Lewandowski scored all of Dortmund's goals.
Klopp said his team's performance against Bayern Munich in the 2012 German Cup final in Berlin, when Lewandowski scored a hat-trick, was proof they can perform under pressure on the biggest of stages.
At the same time, he was careful to warn that there is still plenty of work to be done to secure a berth in next month's final at London's Wembley stadium.
"For us it's the same situation as last year's German Cup final," a typically relaxed and entertaining Klopp told reporters at the Bernabeu.
"We were the German champions and Bayern Munich wanted to beat us in this game, change their whole season," he added.
"They gave their all and my team was pretty cool in this moment because the only way to reach your dream is to be brave.
"And that's what we tried to do. It's no problem to lose the game because it could happen. It's only interesting what you invest in the game.
"They (my players) cannot fail as they will give their best, there is no doubt about this."
Dortmund are chasing a second European crown and a second appearance in the final after their 1997 triumph, while Real are bidding for a 10th title and a 13th final.
The Germans were in the same group as Real earlier in the competition and beat them 2-1 at home before being denied a win in Madrid by Mesut Ozil's 89th-minute free kick in a 2-2 draw.
Klopp was reluctant to talk about the final, or to discuss Dortmund's European title in 1997, when they beat Italy's Juventus 3-1 in Munich.
"I don't really want to talk about the final again and what has come before," Klopp said.
"The only thing that interests me is tomorrow's match.
"We know what is possible in football and what is certain is that something historic will happen tomorrow.
"If we get through that will be historic and if we are knocked out that will be historic as well."
Real will have to match the record for the biggest comeback in the Champions League era if they are to progress.
AC Milan lost 4-0 at Deportivo La Coruna in the 2003-04 quarter-finals having won 4-1 at home.
The successful team will meet last year's finalists Bayern Munich or Barcelona in the final.
Bayern have a 4-0 advantage for their semi-final second leg at Barca on Wednesday.