The Reds enter the FA Cup final tie against Chelsea with past records backing them - Dalglish has never been beaten by the west London side after facing them 13 times.
However, the Scot was quick to point out that it counts for little, and that the result will depend on how his players perform on the occasion.
"It doesn't matter if you have never won or never lost, it makes no difference. It is what happens on the day what counts," he told Sky Sports.
"Chelsea have a different manager and the results they are getting are more positive than they were in the earlier part of the season and it is a fantastic achievement for them to get into the Champions League final with two huge performances against Barcelona.
"We know what they are, we know how good they are - but I don't think we are too bad either on our day."
Despite this being Liverpool's third visit to Wembley this season after a Carling Cup final win and a FA Cup semi-final victory, Dalglish insists that his side are still a bag of nerves ahead of the match.
He said: "I think everyone is nervous. The fans are nervous, the management, staff, owners, directors, everyone, but it is the same for both teams.
"If you are not nervous I think you have a bit of a problem."