- Liverpool were beaten 4-2 by Roma on Wednesday at the Olympic Stadium.
- The visitors headed into the second-leg on the back of a 5-2 win at Anfield.
- Liverpool will face holders Real Madrid on May 26 in the final.
Liverpool came into the match at the Stadio Olimpico with a 5-2 first-leg advantage after they tore Roma apart at Anfield last week.
They twice took the lead on the night in Rome yet they could not kill off the Italians and ended up losing 4-2 to squeeze into the final against Real Madrid with a 7-6 aggregate victory.
The hosts missed a string of second-half chances as Liverpool sat back and invited pressure onto themselves.
"It was the first time that we were not really as good as we can be, so we needed luck. That's what we had," Klopp told reporters after reaching his second European final with Liverpool, following their Europa League run in 2016.
Liverpool have looked vulnerable at the back at times this season in the Premier League, losing composure under pressure and dropping points in games they should have won comfortably.
It has not affected them in the Champions League, however, a competition in which they had been unbeaten this season until Wednesday.
The Liverpool fans inside the Stadio Olimpico might have feared those domestic defensive issues would cost them dearly as Roma created chance after chance in the second half.
7-6 sounds crazy: Klopp
"There was lots of space," Klopp said. "But then our last line was too deep and you cannot play like this.
"It was the first semi-final for most of the boys so normal to have to keep nerves in. It was a little bit exciting – more exciting than I actually wanted.
"For both teams it would have been crazy had we played extra time. 7-6 sounds crazy because it is crazy."
Liverpool will play Real Madrid in Kiev on May 26 as the Spanish side bid to win the Champions League for the third year in a row.
"It's been a fantastic ride so far," Klopp said. "Now we will go to Kiev which sounds crazy but it's true.
"There's still a job to do. Going to a final is really nice, but winning it is nicer. We will be ready. But it's Real Madrid."