Madrid is into its fifth final in nine seasons after a series of incredible comeback victories in the three previous knockout rounds.
Carlo Ancelotti's men trailed for 178 minutes in their semi-final with Manchester City, and were 5-3 down going into the final minute of normal time in the second leg, yet still advanced 6-5 on aggregate.
That came on the back of a Karim Benzema-inspired comeback against Paris Saint-Germain in the Round of 16 and a similarly impressive recovery effort to see off Chelsea in the quarter-finals.
Indeed, Los Blancos have trailed for 243 minutes in games in this season's competition – 21 per cent of minutes played – compared to 105 minutes in which Liverpool has trailed.
Liverpool is no stranger to digging deep, having already won two domestic cups this term with victories on penalties, and Klopp wants his players to focus on themselves.
"If you look at the history of the clubs and the way Madrid celebrate those comebacks, I would say it's them," Klopp said when asked who he considers the favourite.
"It's because of the experience. I want us to be on the same level in these kind of things. I want us to be completely ourselves in this game.
"If we are on the top of our game we are difficult to play. My main concern is for us to be ourselves and be confident."
Klopp was speaking at a pre-match news conference at Stade de France on the eve of Liverpool's 63rd and final game of a gruelling campaign.
Sunday's (AEST) contest will mark the third time Liverpool has faced Madrid in a European Cup or UEFA Champions League final, which is the most between two clubs in the competition.
Liverpool won 1-0 when the sides faced off in Paris 41 years ago, with that still the most recent of Los Blancos' major European final defeats.
The Spanish side came out on top in the most recent meeting between the clubs in the showpiece, courtesy of a 3-1 victory in Kyiv four years ago.
That was Klopp's third straight final defeat as Liverpool manager, but his side have since won five major finals in a row, including the 2019 UEFA Champions League against fellow Premier League side Tottenham Hotspur.
Many pinpoint the loss to Madrid in the Ukrainian capital as a turning point in his tenure, though it was not as important as 12 months later when beating Spurs, in the view of Klopp.
"We delivered that night against Madrid [in 2018] and circumstances hit us," Klopp said. "We couldn't react and arrived on three wheels.
"Things happened. You have to learn to win. The boys developed in the last few years enormously. We are part of a massive club.
"The boys are exactly the right players for this club. People saw that different when I arrived. 2018 was important but 2019 was more important."
Stade de France is a fitting venue for such a high-profile fixture, but the game was originally scheduled to be held in Saint Petersburg.
UEFA changed the venue in February after Russia's military invasion of Ukraine, and Klopp said his side is looking to perform for the people in the war-torn country.
"Until you ask me now, I'm only focused on the game. I'm happy the game is here for thousands of reasons, and it's a strange one," he said, after a pause to gather his thoughts.
"The war is still going on, and we have to think about that. It being not in Saint Petersburg is the right message Russia should get. Life goes on even when you try to destroy it.
"We play this final for all the people in Ukraine. I hope there are people who can watch it and we do it for you as well."