Chelsea battled hard and had their chances to score but were ultimately left empty-handed after another trip to Wembley ended in disappointment, as Liverpool once again proved to be their nemesis as they beat Thomas Tuchel's side in the FA Cup final.
As with February's Carabao Cup final, the game ended 0-0 after extra-time, and once again, the Blues lost out after a penalty shootout.
Edouard Mendy remained on the pitch throughout, however, with his manager resisting the temptation to bring on Kepa Arrizabalaga as he did when they faced Liverpool for silverware earlier in the season.
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Tuchel did make his customary baffling Wembley final substitution as he replaced Ruben Loftus-Cheek - only on as a sub himself at the start of the second period of extra-time - with Ross Barkley, who came on to take and score a spot-kick.
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Marcos Alonso had earlier hit the crossbar with a free-kick in normal time, with both sides culpable of missing gilt-edged chances, with Christian Pulisic also going close on a couple of occasions for Chelsea.
After a lively first 90 minutes, extra-time was a more sedate affair, with both sides having seemingly resigned themselves to the lottery of penalties. Cesar Azpilicueta hit the post with his spot-kick before, with Sadio Mane seeing his tame effort saved by his Senegal teammate Mendy to take the shootout beyond the five selected takers.
Mason Mount missed the crucial penalty for the Blues before Kosta Tsimikas stepped up to slot home the winning kick, as Chelsea once again failed to secure silverware, this time in the Wembley sunshine.