The Bavarians, who beat BVB in last year's final at Wembley, failed in their bid to retain the trophy, losing 5-0 on aggregate to Los Blancos, after a crushing 4-0 second-leg defeat at the Allianz Arena on Tuesday night.
Klopp argued that although the Madrid proved that Bayern are beatable, Pep Guardiola's men remain the No.1 side on the planet.
"Bayern didn't defend set-pieces well enough versus Real Madrid,” he told reporters on Thursday. “For me, they're still the world's best team, but they can be beaten."
Klopp also paid homage to Robert Lewandowski, with the Poland international set to play his last three games for Dortmund before he joins Bayern at the end of his contract this summer.
Klopp added: “Lewandowski has been a brilliant striker for us and it's been a great time. I hope he gives it everything in his last three matches."
Dortmund face Hoffenheim in their last home game of the season on Saturday before travelling to Berlin for their final Bundesliga fixture and the DFB Pokal final against Bayern Munich, both of which will be played at the Olympiastadion.
Klopp, though, is refusing to look beyond this weekend's assignment.
"It's our last home game of the season before we go to Berlin twice and we want to enjoy it in the right way,” the 45-year-old explained.
“Roberto Firmino is in the form of his life, as is Kevin Volland. We will have to defend well and we will get our chances.
"Marcel Schmelzer will be back and hopefully Erik Durm.”
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