Eden Hazard netted the winning spot-kick for the Premier League club, with Kepa Arrizabalaga coming up with two massive saves to help send his side through to the final against Arsenal.
But Sarri, who has now taken the club to two finals while helping them earn a top-four finish in the Premier League, says he couldn't watch the final penalties.
“No, I didn't want to suffer," he told reporters when asked about not watching.
It marks the first time in history that all four spots in the Champions League/European Cup and Europa League/UEFA Cup finals have been filled by teams from one country.
And Sarri, who saw his side struggle at times through his first season in London, was not shocked to see Premier League sides performing so well, though he does believe the grueling schedule in England makes it hard for teams to reach the end of the season in top form.
“Here the level is very high. Very high," he said.
"If you think that, for getting to the final of the League Cup, we had to play against Liverpool and against Tottenham, the finalists of the Champions League, then we played against the best team in Europe in the final, Manchester City.
"You can understand the level here is very high. At this moment, the Premier League is the best championship in Europe and, as a consequence, in the world.
"It's not easy for an English team to arrive in the last month in a very good condition, physically, because here we play more than in the other countries.
"We played match number 61 today. In Italy you can play 50/52 matches, but it's a big difference. Ten matches of difference is a big difference."
Chelsea will get a bit of a break ahead of the Europa League final, with their final match of the Premier League season coming Sunday against Leicester City.