The game finished 1-1 with goals from Cristiano Ronaldo and Frank Lampard. Both sides had periods of dominance and their own chances to win the game, but not even extra time could separate them.
It went to penalties, and as the rain poured down in Moscow, Cristiano Ronaldo's shock miss was cancelled out when Terry - with a chance to win the game and Chelsea's first Champions League final - slipped and saw his penalty clip the post and go wide.
Anelka went on to see his penalty saved by Edwin van der Sar as Manchester United clinched the trophy and Chelsea were left with nothing.
"To all the Chelsea fans, all my team-mates, the manager and staff at the club, I am so sorry for missing the penalty and denying you the fans, my team-mates, family and friends the chance to become European champions," said Terry on the club's official website.
"Many people have told me I don't need to say that but I feel I need to, that's just me. I have relived that moment every minute since it happened. I have only slept a few hours and wake up every time hoping it's all been a bad dream.
"I have had some amazing support from fans, current and ex-players, family and friends and I need to thank everyone for that. But I am a big man and I take responsibility for us not winning.
"I am and always will be Chelsea through and through. I will give my all on and off the pitch to win this trophy as a player and one day as a manager. And I am sure we will win it.
"That night in Moscow will haunt me forever and I feel I have let everybody down and this hurts me more than anything. I am not ashamed about crying.
"This is a trophy I have tried so hard year after year to win and it was just an uncontrollable reaction, I wear my heart on my sleeve, everybody knows that.
"The road to Rome [the venue for the 2008/09 Champions League final] starts here, we have to try and turn this experience to our advantage. I am very proud of how far we have come this season with everything that has gone on.
"Thank you for all your support for the team this season."
Chet Winter, Goal.com