The Italian, who has won the competition as a coach a record four times, said Los Blancos were afraid the trophy could escape them.

Madrid, record 14-time winners, are firm favourites for the clash against the Bundesliga side.

"A Champions League final is the most important game but also the most dangerous," Ancelotti told a news conference Friday.

"We have to enjoy being here, but knowing it can go wrong because we are close to the most important thing in football -– winning a Champions League -- but having the fear this can escape us.

"Things have to go very well, you need to be lucky too, success is very close and so the worry begins tomorrow morning, tomorrow afternoon."

Real Madrid captain Nacho said he was feeling confident but nervous.

"We've got more nerves than in any other moment of the season," admitted Madrid captain Nacho.

"We're humans, it's a calm week for (some people) but for the players it's not. It's special, and that makes it not calm."

Veteran midfielder Luka Modric said despite Madrid's strength in contrast to Dortmund, he was approaching the match as if it were an even battle.

"Everyone thinks we are big favourites, but we don't think about it like that," said the Croatian.

"It's 50-50, we're playing a big team that has had a magnificent season in the Champions League."

Nacho and Modric, along with Toni Kroos and Dani Carvajal, would reach six career Champions League wins with a victory over Dortmund, levelling all-time leader and former Madrid great Paco Gento.

"It was hard to imagine we’d get to this moment but we are here, very happy and enjoying this moment," said Modric.

"I hope tomorrow we can take this step further, as a team and have six European Cups would be something big."

- 'Something special' -

Madrid came from behind to beat Bayern Munich in the semi-finals and have a remarkable ability to turn games around in Europe when it seems like they are defeated.

"We prefer to take the lead if it's possible," said Modric.

"But we've shown many times this year and before, that when things don't go well we fight until the end.

"We always find a way, we're capable of turning the game around. We keep having this mentality, this commitment and fight, but like I said, we’d prefer to take the lead."

Ancelotti said Madrid's ability to come back from the dead "has happened so many times it's not chance".

"It's something special... it could be the history, the quality, the tradition, the character," he mused.

The coach confirmed goalkeeper Thibaut Courtois would start the final ahead of Andriy Lunin, resolving the main selection query ahead of the game.

"Lunin had the flu and hasn't travelled with the team, tomorrow he will travel and will be on the bench -- Courtois will play tomorrow," said Ancelotti.

Belgian stopper Courtois returned from a long-term knee injury earlier in May and has kept four clean sheets in four appearances since.