Klopp believes it’s “very funny” to suggest that the Reds are favourites to beat the Bundesliga champions.
Klopp’s men head to the game following a 3-0 victory over Bournemouth in the Premier League encounter last weekend.
After the first on Tuesday, the Reds will travel to the Allianz Arena on March 13 for the second leg tie.
“It’s always being said that we’re the big favourite,” Klopp told Sky Sport. “I think that’s very funny.
“I see two extremely strong teams facing each other where I don’t know how is going to go through.
“I don’t feel like we’ve got through (already). It will be really difficult for us – but it won’t be easy for Bayern.
“Our team continues to evolve. We have not won anything yet, that’s not so cool. But on the other hand our hunger is clear.”