The midfielder was forced off just a few minutes after coming on as a substitute midway through the second half of the Reds' dramatic, come-from-behind win at Selhurst Park.
Klopp was asked about the condition of Lallana during his post-match press conference and said: "I haven't spoken with him but I saw him. It's absolutely bad. We don't know exactly what he has, but in the first moment and then I saw him going down it looked really serious, to be honest.
"It looks like something with the muscle, we couldn't make any further assessment so far, of course, but we will do that as quick as possible.
"He's our friend, our boy, our mate, our player having a difficult season already. Maybe one of the biggest achievements of the team is that they could play a season so far like they played without Adam Lallana – I never would have thought it was possible.
"So we are all desperately waiting for him and now coming step-by-step back and now… it's a big, big blow for us today."