Klopp's side are bidding to become the first English club to lift all four major trophies in a single season.
They have already won the League Cup, will face Chelsea in the FA Cup final in May and are locked in a tense title race with Manchester City, who are one point ahead with six games left.
The Reds could also win the Champions League, with a semi-final first leg against Villarreal looming next week.
Klopp has repeatedly played down Liverpool's hopes of a clean sweep and he is shocked that they have reached the final weeks of the season still in with a chance of making history.
"It is a situation we didn't expect to be in and we've never been in this situation," Klopp said on Friday. "It's incredibly tough, we play pretty much all the time.