The Reds were beaten 3-1 by Real Madrid in their first final since 2007 having dispatched the likes of Manchester City and Roma along the way.
It was the third cup final Klopp had guided Liverpool to and also his third defeat.
He had previously seen his side beaten on penalties by City in the 2016 League Cup final months before a 3-1 defeat to Sevilla in the Europa League final.
Indeed, Klopp’s record in finals with both Liverpool and former club Borussia Dortmund is horrendous.
The German has contested seven cup finals as a manager and won just one of them.
That was his first with Dortmund as his side won the 2012 German Cup after beating Bayern Munich 5-2.
And Klopp admits that he can’t be proud of reaching a final anymore, believing that the only way to achieve success is to lift a trophy.
“I’m fine with what we’ve done, fine that we did it, but it’s nothing to be proud of,” Klopp told the Liverpool Echo.
“I am a very positive person but even I cannot say that reaching a final is the maximum because it’s not the maximum. When we are there, we have to win it.
“I am mostly fine with the performances we’ve showed in these finals, we always did what we could do and that’s important.
“The real positive thing is that there’s still a lot of space for improvement and development – that’s what we are going for.
“We feel in a good moment. The closer it comes to the start of the season, it’s less important how we feel and more important that we’re ready.”
Liverpool have one more pre-season match against Torino on Tuesday before beginning their Premier League campaign by welcoming West Ham to Anfield on Sunday (1.30pm).