The two clubs meet in the FA Cup this weekend.
"Everything you win is special," said Dalglish. "I am lucky there have been a few things and they all have their own meaning.
"The special thing about Blackburn was how it was built up from its infancy.
"It was pursuing a dream and accomplishing that dream, the dream of a man who was fantastically proud of coming from Blackburn and he put his money where his mouth was.
"It is not just an incredible story, it's a romantic one."
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