Liverpool face Tottenham Hotspur in the Champions League final on Saturday 1 June at the Wanda Metropolitano in Madrid.
Klopp has previously lost two Champions League finals as a manager, with the first coming as manager of Borussia Dortmund against Bayern Munich at Wembley in 2013. His second defeat came last year when his Liverpool side lost 3-1 to Real Madrid following a brilliant overhead kick goal by Gareth Bale and two mistakes by the Reds goalkeeper Loris Karius.
Mourinho claims that Klopp would find it difficult to cope should his side lose the final this season.
"If Jürgen wins, its an incredible achievement for him. If Jurgen doesnt win, you know....to lose three Champions League finals...phew...that has to be really, really hard," he told Sky Sports.
"But in this moment, he is a very positive guy, Im sure hes just thinking about winning.
"Being a manager, and understanding what it means for a manager to play a Champions League final, there is always a negative side of it and the negative side is that one team will lose and one manager will lose."
Klopp has a poor record in finals as a manager, losing six of the seven that he has contested in all competitions.
However, the 51-year-old did guide Liverpool to their highest-ever Premier League points tally this season, as the Reds accumulated 97 points and narrowly missed out on the title to Manchester City.
Klopp has also taken Liverpool to the Europa League final and League Cup final in 2016 where the Merseyside club suffered defeats to Sevilla and Manchester City respectively.
He will look to win his first trophy at the club in the final this season.