The Serie A champions were held to a scoreless draw in Thursday's second-leg at the Juventus Stadium after a 2-1 defeat in Lisbon last week, yet the defender feels Juventus did enough to make it through.
"It’s disappointing because we deserved to reach the final out there," Chiellini told the official Juventus website.
“It’s hard to take because the result doesn’t reflect our performance. We were missing a slice of luck in both legs.
"I think we played two great games in this tie but we were punished by individual moments.
"The final was one of our aims, so it’s a shame to miss out."
Benfica meet Sevilla in the Europa League final at the Juventus Stadium on May 14.