Chelsea captain John Terry misses a penalty during the shootout.
Ballack, Juliano Belletti, Lampard and Ashley Cole all scored for Chelsea but when Terry failed the momentum shifted.
It was a heartbreaking night for Terry, who had the chance to take the trophy to Stamford Bridge for the first time but sent what would have been the winning penalty against the outside of the post.
Terry playing with a protective strapping on his damaged shoulder, slipped on contact and watched in despair as his penalty clipped the outside of Edwin van der Sar's left post and flew wide.
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