The Bundesliga side have travelled to Spain with 4-1 lead from the first leg of the Champions League semi-final following their stunning victory in Germany last week, 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.
"For us it's the same situation as last year's German Cup final," he said.
"We were the German champions and Bayern Munich wanted to beat us in this game, change their whole season.
"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.
"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.
"I don't really want to talk about the final again and what has come before," Klopp added.
"The only thing that interests me is this match. We know what is possible in football and what is certain is that something historic will happen.
"If we get through that will be historic and if we are knocked out that will be historic as well."