The German coach, who led the Westphalians to the Wembley final last season, was on the top of Napoli chairman Aurelio De Laurentiis' list to replace Walter Mazzarri in the summer, but turned down the approach.
"Yes he did call me," Klopp said in Naples.
"I think he called me before Benitez because if he'd called me after Benitez had already said 'yes' it would have been a bit stupid."
Klopp's refusal confirms his commitment to a Dortmund side he hopes to lead into the Champions League once again this season, although he does not expect it to be an easy ride.
Drawn in a group along with Napoli, Arsenal and Marseille he knows that Group F is going to be a very tight affair.
"I think this is going to be the most exciting group, and we're part of it," he said.
"I don't think there is a favourite in this group at all.
"All four sides could go through and all four could not even make the Europa League, that's the way it is.
"But we are in good shape and we are here to get something, to be honest."
While Klopp says Napoli are among the favourites for the title this season, Benitez suggested Dortmund have the best chance of winning, saying they are "the most in-form team around right now."
He said: "They were runners up last year and they are top of the Bundesliga, but we are not afraid of anybody, and I don't say this with arrogance.
"I prefer playing games like this compared to easier ones if we want to show how strong we are."
Exactly how strong Napoli believe they are was reflected in the words of their midfielder Valon Behrami, who hopes the fans can be his side's 12th man.
"They fear us, which is how things should be," he said.
"Playing at home could be a big help and we need to take advantage of our home games.
"It's very important we make a good start and we've got to treat this like the biggest game of our lives."
Benitez has a fully-fit squad to choose from and he says changes will be made from the side which beat Atalanta at the weekend.
The Spaniard, speaking at a press conference, would not reveal what they would be "because I'm sure Jurgen Klopp is hiding over there".
Dortmund are without the injured midfielders Ilkay Gundogan, Sebastian Kehl and Lukasz Piszczek "which is a shame," according to Klopp.
He added: "But we didn't have them against Hamburg either at the weekend."
That game ended 6-2 to Dortmund and a repeat in Italy would be just the start the Bundesliga side are dreaming of.