Bayern face their Bundesliga rivals in the first all-German Champions League final in London's Wembley stadium on May 25.
The Bavarians beat former European champions Juventus 4-0 on aggregate in the quarter-finals before exploding past Spain's Barcelona 7-0 in a sensational run to their third final in four editions.
"Bayern swept Barcelona and Juventus out of the stadium so that they had trouble finding the exit," Klopp told kicker magazine on Monday. "This is hardly possible against us."
"We know how good we are. We are uncomfortable opponents for any team," said Klopp, who led Dortmund to the 2011 league title and the 2012 German league and Cup double.
Bayern, who have already won the Bundesliga this season, are attempting an unprecedented treble of titles for a German club with the Champions League and the German Cup in their sights.
"We have drawn both games 1-1 in the Bundesliga this season and we lost in the German Cup 1-0 where we had a very bad day," said Klopp of this season's clashes against Bayern.
"The gap between Bayern and us is not so big as to say we cannot be that bit better on the day of the final." (Reporting by Karolos Grohmann; Editing by Clare Fallon)