The Reds were downed 3-1 by Real Madrid in Kiev, which made it six straight finals losses for Klopp.
Lovren told Sky Sports: 'It's something I always dreamt of and I can also say that for the lads and for the manager.
"The first time we reached the final, when we lost against Real Madrid, he told me, 'Don't cry. Imagine how I feel after losing six finals!'"
The German finally made up for it by winning last season's Champions League final against Tottenham Hotspur.