An hour after the first of Jürgen Klopp's many jokes, interspersed with his worldly insights into football and life, he returns to a more personal memory. It is fitting and evocative because the tumultuous journey that Klopp and Borussia Dortmund have taken to the Champions League final at Wembley, where they play Bayern Munich on Saturday, has been this season's most memorable story. A passionate club's exhilarating play and outrageous drama, painful transfer intrigue and riotous joy, validates Klopp's claim that "this is the most interesting football project in the world".

It was strangely similar for Klopp at Mainz, the first love of his sporting life. Klopp, who eventually became their coach, used to be a lumbering striker-turned-defender in the German second division, and he suggests that: "Just like every person who works for Dortmund is a fan of the club, it was the same at Mainz. When I was a player there we had 800 supporters on rainy Saturday afternoons and if we died no one would notice or come to our funeral. But we loved the club and we have this same feeling at Dortmund. It's a very special club – a workers' club."

Klopp is canny enough to evoke these romantic roots when, speaking in English with real fervour, he says: "I left Mainz after 18 years and thought: 'Next time I will work with a little less of my heart.' I said that because we all cried for a week. The city gave us a goodbye party and it lasted a week. For a normal person that emotion is too much. I thought it's not healthy to work like this. But after one week at Dortmund it was the same situation. To find this twice, to be hit by good fortune, is very unusual."

Borussia Dortmund reeled from Champions League glory in 1997 to the brink of bankruptcy in 2005. Transformed by Klopp's arrival from Mainz almost five years ago, the €189m (£160m) they generated in 2012 makes them the world's 11th largest club. Their imposing Westfalenstadion, dominated by the steep Yellow Wall terrace, rocks with 82,000 fans for every game. But, compared to Bayern and Manchester United, Real Madrid and Barcelona, they remain Champions League romantics. Their wage bill is half that of Bayern's and a third of Madrid's and yet, in their semi-final first leg, they swept aside the Spanish club 4-1. Just days before that unforgettable match, the 20-year-old Mario Götze, their most gifted player who has been at Dortmund since the age of nine, decided to activate his €37m release clause and join Bayern this summer.

It's the latest in a line of departures that threaten to tear the heart from Klopp's young squad. Robert Lewandowski, who scored all four goals against Real, will almost certainly leave – probably also for Bayern, already strong enough to have obliterated Barcelona 7-0 in the other semi-final.

"What can I say?" Klopp says with his only shrug in a 90-minute interview at Puma's office in Dortmund. "If that's what Bayern wants … It's like James Bond – except they are the other guy [the villain]."

Klopp has previously compared Bayern to a remorseless superpower like China but he waves away that reminder. "I was tired," he smiles. "Bayern want a decade of success like Barça. That's OK if you have the money because it increases the possibility of success. But it's not guaranteed. We are not a supermarket but they want our players because they know we cannot pay them the same money. It could not be our way to do things like Real and Bayern and not think about taxes – and let the next generation pick up our problems. We need to work seriously and sensibly. We have this amount of money so we can pay that amount. But we lose players. Last year it was Shinji Kagawa."

He hits his head with his palm. "Shinji Kagawa is one of the best players in the world and he now plays 20 minutes at Manchester United – on the left wing! My heart breaks. Really, I have tears in my eyes. Central midfield is Shinji's best role. He's an offensive midfielder with one of the best noses for goal I ever saw. But for most Japanese people it means more to play for Man United than Dortmund. We cried for 20 minutes, in each others' arms, when he left. One year before that Nuri Sahin went because Real Madrid is the biggest club in the world. [Sahin is back at Dortmund after just four appearances for Madrid and an unhappy loan spell at Liverpool]. If players are patient enough we can develop the team into one of the biggest in the world."

When asked about the cruel loss of Götze, the 45-year-old is initially philosophical. "It's absolutely normal that people go different ways. At 18 I wanted to see the whole world. But I am only in Mainz and Dortmund since then and … [Klopp laughs] it's not the middle of the world. It's OK that they want to go to different places. But they get there and, shit, it's not the same. Look, you work for the Guardian, and sometimes you see your colleagues and think: 'Oh no, the same old thing every day.' Maybe you want to go to the Sun? More money, less work. More photographs, [fewer] words."

His laughter dies and he looks suddenly stricken when I ask about his shock after he heard Götze would be gone this summer. "It was like a heart attack. It was one day after Málaga [whom Dortmund beat with two desperately late goals in the quarter-final]. I had one day to celebrate and then somebody thought: 'Enough, go back down on the floor.' At our training ground Michael Zorc [the general manager] walked in like somebody had died. He said: 'I have to tell you something. It's possible that …'"

Klopp can't bring himself to repeat the words. "Michael asked if I wanted to talk and I said: 'No, I have to go.' That evening my wife was waiting because there's a very good German actor, and a good friend, Wotan Wilke Möhring, in a new film in Essen and we were invited to the premiere. But I walked in and told her: 'No chance. I cannot speak. It's not possible to take me out tonight.' There were all these calls from the club – we should meet in a restaurant and speak. I said: 'No, I have to be on my own.' Tomorrow I'll be back in the race – but not tonight."

Some Dortmund players were so affected they could not sleep after hearing Götze's news. "That's the truth," Klopp concedes. "I called six or seven players who I knew were damaged in the heart. They thought they were not good enough – and they wanted to win together. That's the reason it hurt them so much. But Bayern told Mario: 'It's now or never.' I told him they will come next year. They will come in two years, and then three years. But he's 20 and he thought: 'I must go.' I know how difficult it will be to find a player to replace Götze but, next year, we will play differently. It just takes time."

His first coaching inspiration, Wolfgang Frank, managed Klopp for years at Mainz and they were fascinated by Arrigo Sacchi's work at Milan. "Even though we were in the second division we were the first German team to play 4-4-2 without a libero. We watched this very boring video, 500 times, of Sacchi doing defensive drills, using sticks and without the ball, with Maldini, Baresi and Albertini. We used to think before then that if the other players are better, you have to lose. After that we learned anything is possible – you can beat better teams by using tactics."

Klopp outwitted José Mourinho at the Signal Iduna Park. Beyond the relentless pressing and devastatingly quick transitions that define Dortmund, Klopp found a way to blunt Xabi Alonso and, in turn, Cristiano Ronaldo. The fact that Mourinho has since taken to phoning him regularly is another sign of Klopp's place at the peak of European coaching. But, besides tactical acumen, his ability to connect emotionally with his players is telling.

After he has praised Lionel Messi as "the most unbelievable player because there's no weapon against him when he is fit – no tactic will work", Klopp offers a startling insight. Rather than showing his team videos of Barça at their best, for displays of tika-taka are scarcely relevant to Marco Reus, the hugely energetic standard-bearer of Dortmund's lightning transitions, Klopp offers them photographs. He highlights the way in which Messi and his team-mates celebrate every goal "like it's the first they've ever scored. It's the perfect thing to show my team. I do it very often. I show them photographs of how Barcelona celebrate. I don't use videos because I don't copy Barça's style. But you see them celebrate goal number 5,868 like they've never scored before. This is what you should always feel – until you die."

Klopp has always been interested in ways of unifying his teams for, as he says: "You can speak about spirit – or you can live it." At Mainz, after he'd led the club to promotion in 2004, he settled on an unlikely pre-season trip. "We took the team to a lake in Sweden where there was no electricity. We went for five days without food. They had to do this [he whistles and, using an imaginary fishing rod, casts off]. The other coaches said: 'Don't you think it's better to train playing football?' No. I wanted the team to feel that they can survive everything. My assistant coach thinks I'm an idiot. He asks if we can train there. No. Can we run there? No. But we can swim and fish!

"When I meet one of those players now, from our 'Special Forces', they tell me what happened in the first and last minute and every story in between. Each night in a fucking tent, lying on the roots, you don't forget that. We had to find the next island. The first one there had to make a fire and boil some water. The whole time it was raining. Only five hours it was not and then [Klopp slaps his cheek] … a mosquito! How can they live in Sweden? You see the sun and [he slaps his cheek again] you feel mosquitos! But it was brilliant. We were like Bravehearts. You can stick a knife in me here – no problem. We went to the Bundesliga and people could not believe how strong we were."

He was soon known across Germany. His incisive yet amusing work as a television pundit brought him a first flush of fame. More importantly, his outstanding coaching impressed Bayern Munich. "Uli Hoeness [Bayern's president] asked if I would see him. I said: 'Yes sir – I have to ask my mother first but I think it will be fine.' He told me they were thinking of two coaches and I was one of them. Later Hoeness decided on Jürgen Klinsmann. It wasn't too disappointing – for a second division manager to be called by Bayern is not the worst thing in the world."

Klopp was also approached by Hamburg. In the end their hierarchy offered the job to Martin Jol because, unlike Klopp, he wore a suit when interviewed. "I know why I didn't get the job," Klopp says. "They came to my house but two out of three guys wanted me. One of them was not sure. I looked like this [Klopp gestures at his unkempt appearance]. I'm sorry!

"I read it in the newspaper that I'm not the right coach because of these reasons and, also, because my players called me Kloppo. I don't think it's disrespectful. At Mainz, when I started as a coach, the players were my team-mates. The next day I'm their coach. Must they start calling me 'Sir'? Hamburg thought if someone called me Kloppo I can't have their respect. I phoned them and said: 'I don't want to go to Hamburg. It's not possible when you have so many doubts about my character.'"

Hamburg must be cursing their fastidiousness. Klopp, since then, has been linked to Chelsea, Manchester City, Manchester United and even Arsenal. He still seems tightly bound to Dortmund – but will this always be the case? "I don't know. In this moment I don't think of anything else. If I went to many clubs now and said: 'Hello – bring me offers', maybe some would start running. But I'm not interested because, for me, this is the most interesting football project in the world. In three or four years, if someone wants me, we can speak. But, for now, this is the best place for me."

Klopp comes from a small village in the Black Forest – "There were 1,500 people there when I left and 1,499 live there now." He is the father of two grown-up sons and his wife, Ulla, is a writer. "She wrote a book for children," Klopp says. "It's like Harry Potter – but it's about football. There's no Harry Potter flying on his fucking stick – just football." Yet even if Dortmund is not the centre of the universe, Klopp has produced a magical world of football rooted in his normality and good sense.

"I got more in life than I was ever supposed to get – family, money, football. None of my teachers, or my parents, ever believed this would happen to me. So how can this perfect life of mine be spoilt because they take our players? It's better if they stay but I'm not sure we'd be stronger. You need change to make the next step in the team's development. If all these players had stayed I would have to go because there'd be nothing new. If I say 'Go left', they would say: 'You've told us that 200 times – we don't want to hear your voice any more.' That's life – so you need new players. It's not an easy situation but I can handle it. I am an absolutely normal guy but it's not so difficult to find a moment to be their friend or, well, [he grins] teacher."

As he approaches the biggest game of his life, Klopp talks merrily of "a fairytale." But he also points out calmly that, last season, Dortmund did the league-and-cup double over Bayern, as he predicted. It was their second Bundesliga title in a row. At the start of this season Klopp insisted Dortmund were ready to win the Champions League.

Bayern will be favourites but Dortmund have the support of most neutrals – for it is difficult to resist such an exuberant team and their riveting coach.

"We are a club, not a company," Klopp says, "but it depends on which kind of story the neutral fan wants to hear. If he respects the story of Bayern, and how much they have won since the 1970s, he can support them. But if he wants the new story, the special story, it must be Dortmund. I think, in this moment in the football world, you have to be on our side."

Jürgen Klopp is proud to wear PUMA – who are also a partner of Borussia Dortmund