Chelsea captain Cesar Azpilicueta said that back-to-back final defeats against Liverpool on penalties were tough to take after Juergen Klopp's side once again got the better of them in the FA Cup decider on Saturday.
Chelsea, who lost the League Cup final in February, went down 6-5 in the FA Cup shootout after Azpilicueta and Mason Mount both missed their spot kicks, allowing Kostas Tsimikas to slot home the winner in sudden death.
"When we arrived at the penalty shootout we tried to do the best we can. We were ready for it. Unfortunately this time it didn't happen again," the Spaniard told the club website.
"I missed my penalty as well so it's not Mason. We are all together here. When we make the list, we all feel confident that we want to shoot. This time it happens and I'm sure Mason will have a lot more times, he's still a young player.
"It's part of football. It's true that sometimes it looks painful, but of course we are the first ones who are hurt."
Chelsea, third in the Premier League, have had a turbulent season due to government-imposed sanctions following Russia's invasion of Ukraine, which Moscow calls a "special military operation".
Russian owner Roman Abramovich put the club up for sale in March and a consortium led by Los Angeles Dodgers part-owner Todd Boehly is now set to take over at Stamford Bridge.
Azpilicueta said Chelsea could still take some positives from the season if they finish strongly in the league, starting with Leicester City on Thursday.
"We got two trophies this season, the Club World Cup and the Super Cup, which we have to appreciate as well ... but of course, when you arrive here and you lose two finals you are disappointed. Now we have two games, six points, to finish third."