Firmino continued his impressive start to the season by scoring the opening goal in Liverpool's 3-1 win over Southampton on Saturday.
The 31-year-old has now scored seven goals and provided three assists in 13 Premier League appearances this season.
Firmino's impressive club form was not enough to earn him a place for the trip to Qatar as he was conspicuously missing from Brazil manager Tite's 26-man squad.
Klopp says Firmino has been left disappointed by his omission although he did acknowledge the quality within the Brazil set up.
"A blow, definitely," Klopp said. "You couldn't see it in training, but definitely.
"It was [a blow] for me to be honest. I'm happy we have Bobby, but he deserves it. I think he deserves everything, to be honest.
"It just shows how incredibly good and talented this Brazilian squad is if you can leave a player like Bobby Firmino out. Madness.
"Of course, we will talk; we did already, and will maybe do again. He's fine but, as everyone can imagine, very disappointed."
Firmino's contract with Liverpool expires at the end of this season but Klopp confirmed talks are in place regarding an extension.
"Normal conversations are happening as well so we will see what happens there," Klopp concluded.
