Following a goalless draw at Anfield in the semi-final first leg last week, Jota stepped up in the absence of Sadio Mane and Mohamed Salah, who are away on international duty at the Africa Cup of Nations, to take Liverpool to the final after a 2-0 victory at the Emirates Stadium.
Jota benefitted from two assists from Trent Alexander-Arnold to take his tally for the season to 14 goals from 27 appearances across all competitions.
The 24-year-old Portugal international has been a revelation since joining from Wolverhampton Wanderers for £40m in the summer of 2020 and Klopp has been impressed by his progress.
"We were completely convinced when he arrived he'd help us massively," Klopp told Sky Sports after the game.
"There's so many things before you sign a player, nowadays you can watch 100 games, we were really confident but since he's been here he's made another step. He's turned into a world-class striker, and that's really helpful for us.
"We scored two wonderful goals, Jota was on fire, but the passes too. I don't think a lot of people in the stadium saw Diogo in that position for the second goal, but Trent did which was helpful and he finished it off - absolutely outstanding.
"We're over the moon. It's a difficult game, a difficult time generally, we just have to get through it. We try everything we can, and what the boys did tonight against a really strong Arsenal side was really exceptional.
"Arsenal were pretty lively at the start of both halves, we calmed it down, played good football, didn't create a lot but with their quality it's not easy."
Liverpool will now play Chelsea in the Carabao Cup final at Wembley on February 27.
