That is the view of Jurgen Klopp, their much sought after coach, who says they are aware of the challenge ahead even though they are 4-1 up on aggregate.
"The only way to reach a dream is to do it bravely. It's not a problem to lose the game because it could happen of course, what matters is how you do it; what you invest in the game. So, my players cannot fail," said Klopp.
"Real Madrid believe they can come back against us and, if they believe so, they will act accordingly. At Dortmund we want to thrill our fans with our team. I think we've all seen how we can play.
"We are ready for Real Madrid to try everything they can and our feeling is not that we are already in the final. We feel the first-leg result was much better than expected but we know we will have to fight tomorrow and be at our best."