SO now we all know how the supporters of AS Roma, Birmingham City, AC Milan, West Ham United and Cardiff City felt.
Watching your team taking party in a penalty shootout for the chance to lift a piece of silverware - and losing it - is not one of the best experiences you'll have as a football fan.
Well, on Sunday it was the turn of us Liverpool Football Club supporters who have seen our club win two European Cups, two League Cups and one FA Cup in that very way in our illustrious history, to go through the pain endured by the likes of the five aforementioned teams.
This was a new one for all Reds fans - and, by God, did it hurt.
I guess it's nothing with what Italian or French players and supporters felt when they lost shootouts in World Cup finals, but all the same, it still was a hard punch to the guts.
Perhaps it hurt more because we'd witnessed a true, valiant effort from the team to hang in there against Manchester City.
Trailing to a 47th minute strike from Fernandinho, the City midfielder taking advantage of Liverpool goalkeeper Simon Mignolet failing to keep the garden gate shut, the Reds dug deep.
And their efforts were rewarded seven minutes from time when the brilliantly-gifted Brazilian Philippe Coutinho rammed the ball home from inside the 18-yard area after an effort from teammate Adam Lallana had struck an upright.
It might have been fortuitous the way the ball fell to him, but neither Coutinho nor the tens of thousands of Reds fans in West End of Wembley Stadium gave a care.
The Liverpool No10 raced away with unbridled joy to celebrate with the supporters.
It was another example, as if anyone was in any doubt, how manager Jurgen Klopp has re-forged a bond between the fans and the players which began with a 2-2 draw against West Bromwich Albion in the Premier League back in December.
It was a wonderful sight to behold and for a fleeting moment it reminded me of when the great Kenny Dalglish netted what would prove to be the match-winner in the 1978 European Cup Final over Bruges. After clipping the ball home, Liverpool's greatest-ever player went on a mad dash over the advertising hoardings towards the massed ranks of Reds fans to celebrate the moment with them.
Sadly, for Coutinho and Liverpool's supporters, the 2016 League Cup Final was not going to have the same joyous, silver-lined conclusion as that Wednesday evening in May almost four decades ago now.
The final would go to penalties, and despite being in front after the first pair of spot-kicks, the Reds were unable to take advantage.
This was to be Manchester City's second-choice goalkeeper Willy Caballero's moment to remember, one to tell his grandchildren. Three outstanding saves from the Argentinean to deny the imperious Lucas Leiva, goalscoring hero Coutinho and the mercurial Lallana set the stage for Yaya Toure to apply the coup de grace.
Klopp, frank as ever in his post-match media conference, summed up how he felt - and doubtless the feelings of all Liverpool supporters: "Shit".
It was exactly that, but although all Reds fans are feeling dispirited - myself included - perhaps we shouldn't be too downhearted. Yes, of course losing in a final is awful, but when you consider everything, the team has done remarkably well to be within a whisker of winning a record ninth League Cup.
The team that took Manchester City to a lottery decided from 12 yards is by no means Klopp's. He has hardly dipped into the transfer market at all and it will be more than interesting to see what happens on that front during the summer months.
That's all for the longer-term. In the short-term, I'd love the 2015-16 campaign to be a repeat of what happened in 2004-05.
That season, the Reds, under a newly-appointed manager, were beaten by Chelsea in the League Cup Final at Cardiff's Millennium Stadium only to go on to glory in Europe when the Champions League was won in remarkable circumstances against AC Milan - on penalties, of course.
With progress made in the Europa League to the last 16 stage, there's still a chance that European success could be achieved again this season. Yes, it may be wishful thinking, but why not go all out and try and achieve that aim?
Klopp has really impressed me. We all know he's a lively character to say the least and his media conferences are something to behold. But behind that extrovert exterior, he's clearly an outstanding, thoughtful coach who has gone a long way already in that part of his professional football career which began the year Liverpool famously secured five pieces of silverware in 2001.
And I am absolutely convinced that with him at the helm directing matters, Liverpool Football Club is going to be just fine.
In the short-term, I believe Klopp will pick the players up and will go all out to ensure 2016 ends with a bang and not a whimper. I don't think he would allow that to happen.
And once the new campaign kick-off again in August, I'm certain we'll really see his brand of football come through to hopefully sustain efforts to improve the club's standing in the Premier League as well as on the two domestic cup fronts.
And should the team succeed this season in the Europa League and lift the trophy in Basel in May, that would also mean a chance to compete in the Champions League too.
Now that really would be a sight to behold watching Klopp leading the Reds against the cream of Europe with a team moulded in his image.
It's been a final to forget, yes, but Liverpool fans the world over should be excited about the future under the 48-year-old German.
There's much to be hopeful for and after the Capital pains, I am positive the gains will follow.
