Saul believes he has faced tougher matches for Atletico Madrid than the second leg of their Champions League last-16 tie at Anfield in March.
Los Rojiblancos became the first team to beat Liverpool at Anfield this season when they came away with a 3-2 victory after extra time.
"Anfield was a very difficult game, that's something we knew already," Saul told Atletico's website.
"It's not the game where I've suffered most on the pitch, where I've said: 'How bad are we?'
"In Munich, I had a really bad time.
"I was saying to myself: 'We won't get out of here alive.'"
That match in Munich Saul referred to is, of course, Atletico's second leg at Bayern Munich in the 2015/16 Champions League semi-finals - a tie they won overall.
"At Anfield, I had confidence in the team, we had chances," Saul continued.
"Jan Oblak was very, very good...
"We didn't have a lot of chances to start with but, once they scored their first goal, we saw that they were coming for us and we had space to hurt them in.
"The hero of the hour was, along with Jan, [Marcos] Llorente.
"He was able to help the team, with [Alvaro] Morata, going forward... he gave us life.
"[Llorente and Morata] had the legs to help.
"That says a lot about the whole team because the players that started didn't make the difference, but those that came off the bench did.
"It's a lesson to think about the team ahead of the individual, which is what makes us different."