The German coach stunned the world of football last month when he confirmed that he would be quitting Anfield this summer after nine years in charge of the Reds and Alexander-Arnold admits that the bombshell news was "not nice" to hear.
The full-back said: "I was as shocked as anyone else, really, if not more. It was a huge surprise to all of us. One that obviously is not nice but it's of course a personal decision that he's taking. You have to respect it.
"I've loved absolutely every minute working with him and can't wait to finish the season, and excited to see what memories we can keep going on to make."
Liverpool remain in the hunt for four trophies this season and Alexander-Arnold wants Klopp to end his time at the club in fitting style by lifting silverware in front of the supporters.
Asked how the team can give Klopp a dream farewell, Alexander-Arnold said: "Cruising round Liverpool in an open-top bus. That's the fairytale ending that I think everyone hopes for and, for us players, that's our motivation.
"That was our motivation at the start of the season, that's our motivation now. Even more so is to give the manager the send-off he's deserved and he's earned. That's kind of what our aim is, to be going around Liverpool in an open-top bus."