Klose, who just signed a new contract with the club until 2022, was part of the team that was relegated from the top division a few seasons ago.
Now he and the rest of the team are back and he will be hoping they can enjoy a different outcome.
But whatever happens, Klose wants the players to enjoy and be confident about playing against the big boys.
"We have nothing to lose," the centre-back said of the Premier League challenge to reporters.
"We can go up there and prove we can compete with the best.
"We can go there with a good mix of players and show that we can play against them and win the games.
"We don't need to go on the pitch and be nervous. You don't win games like that. We have to go out and enjoy every minute.
"There will be difficult periods, especially next season but you have go through them and it builds character and a personality. We have to be confident and have the pride in ourselves to perform and win games for this club."