Thierry Henry believes Borussia Dortmund must go into the Champions League final against Real Madrid with the same mentality Liverpool did in 2005 if they are to stand a chance of an upset.

Dortmund, who have Manchester United loanee Jadon Sancho in their squad, go into the final next Saturday facing an uphill battle against the 14-time European Cup winners. Madrid slipped past Manchester City in the quarter-finals on penalties and then beat Bayern Munich in the semis.

But Henry, who won the competition with Barcelona in 2009, has a certain match in mind. Liverpool were 3-0 down against AC Milan in Istanbul in the 2005 final before mounting one of the all-time great comebacks to win the match on penalties.

He said: ‘If you’re on the side of Dortmund, sometimes you have to pinpoint and target something that the other side is not good at. Like, “We can counter them or we can bully them playing the long ball or we can score from crosses or we can score on corners”.

‘But with Real Madrid it is a tough one because they can play low and defend as we saw against Manchester City. Against Leipzig, Leipzig was on top creating a lot. So they missed a lot of chances.

Thierry Henry believes Borussia Dortmund must exploit Real Madrid's weaknesses in the Champions League final

‘Real Madrid can be in possession, have the ball and annoying you. They don't lose finals. The last time they lost a final in Europe was against Aberdeen. And the previous one was against Liverpool, in Paris (in 1981).

‘So one thing that I always say to people is you need to have hope you can do it. I will always mention the Liverpool vs AC Milan final. When that Liverpool side was 3-0 down against that Milan side, for anyone to say they will come back 3-3 and win on penalties, nobody said that.

‘It's one game, you never know what can happen. Someone takes a red card early doors or anything can go your way.

‘It's very difficult to go against Madrid. Even if you want to, they always prove people wrong. And you know, 14 times (winners) already, it can be 15. You have guys in this team that can win six. I mean it is just ridiculous when you think about it.

‘But if you remember the final in 1997, nobody gave Dortmund a chance against Juventus. No one, everyone thought that they were going to get destroyed and they won so this is why it's magical. It's a final, you have to hope and believe.’

Ex-Arsenal legend Henry also won the World Cup. He sees a direct comparison with the two competitions. ‘I always have the debate: World Cup or Champions League, and I always say to people the World Cup is every four years,’ he said.

‘At club level the Champions League is what everyone would like to win, especially if you're a big team.

‘But what makes it special is you have home and away games. So if you compare it to the World Cup, OK, there’s one game. There's no return leg, so you can surprise the team in one game. But (in the Champions League) you have to go to their place after and they can reverse it. In the World Cup when you lose one you go home, there is no there is no return leg or whatever.

‘So for that, it makes it more interesting.

‘Every year you have you have a story and it is the best competition in Europe, that is for sure. Even guys that play in South America or in Africa, or in Asia, they all want to come in Europe to win the Champions League and it speaks volumes about how big this competition has become.’

Henry was speaking ahead of a Walkers ad he has done with David Beckham, where the pair surprised fans by knocking on their doors to invite them to watch football. It’s part of the ‘No Walkers, No Game’ campaign which rewards fans who are matchday ready with their Walkers crisps.

He added: ‘To be able to go to people's places and surprise them and see their reaction, it was actually funny, priceless at times.

‘I'm asking them if they obviously have some Walkers, they were not even answering!

‘The reactions were really nice but you just don't know what you're going to have. There was laughter, tears, and some were just completely speechless! It was pretty funny.’