Klopp's charges should be full of confidence after their 3-0 Bundesliga thumping of Bayern Munich on Saturday, but the coach warned that result would count for nothing when they play their last-four cup clash.
"Self-confidence is good, but self-confidence alone won't be enough against Wolfsburg," he said.
"So that's why I'm glad about the will of my team to give their best in those (recent) matches. And this will be the most important thing: to be willing to work hard against Wolfsburg.
"Wolfsburg will also give their best because they've been waiting for a trophy since 2009. They are having a good season. There will be two self-confident teams that clash on Tuesday."
Klopp also took time to praise Henrikh Mkhitaryan, who missed a glorious opportunity to level Dortmund's UEFA Champions League quarter-final tie against Real Madrid last week.
Dortmund lost the first leg 3-0 in Spain, but led 2-0 when Mkhitaryan rounded goalkeeper Iker Casillas but struck the outside of the post.
It would be the closest they came to an equaliser but the Armenian seemed to put it behind him on Saturday, scoring in Dortmund's rout, leading Klopp to hail his reaction.
"He is taking those things very seriously, which is something we all do," he said.
"You have to risk mistakes, otherwise you don't do enough. If you make mistakes you have to learn how to deal with them.
"That's of course something he's able to, but this particular one for him personally was really important.
"He felt like it was all his fault. Which of course is nonsense and that's what we told him. His reaction in Munich obviously was fantastic."
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