They had bellowed "You'll Never Walk Alone" at the interval here in a bid to inspire a repeat of Istanbul, but, in the end, there was to be no staggering revival summoned by Liverpool this time around.
Steven Gerrard, a man possessed en route to this trophy two years ago, departed the turf last night denied and distraught, his team shuffling from the field after him with the agony etched across their faces.
The drama and inspiration had been left at the Ataturk - where Milan had suffered before - now the pain was all Scouse.
The captain will have felt it smart more than most. Gerrard has become synonymous with Liverpool's recent cup successes, his superhuman second-half display in Turkey two years ago having served to inspire the recovery from 3-0 down to these opponents, with similar heroics mustered a year ago to edge out West Ham, again on penalties, in the FA Cup final.
Agonisingly for Liverpool, this was to be an evening of frustration rather than inspiration. The European Cup had been placed on a podium prior to kick-off last night with the two teams forced to part and walk either side of the glimmering trophy as they marched on to the turf.
The prize stood tantalisingly within reach. Gerrard's stare had not flickered once.
There was plenty of busy endeavour here, the leggy energy that so often drives the Merseysiders forward propelling his team, but no reward amid the increasing desperation. Midway through the first half Jermaine Pennant's charge down the right and delivery to the far post had seen Gerrard belt a shot over the bar, with the effort greeted with whistles and jeers from the Milanese.
That perhaps reflected the anxiety the Liverpool captain inspires in the Rossoneri.
Yet when, 63 minutes in, he burst on to Dirk Kuyt's pass, twisting away from Alessandro Nesta and opening his body up to shoot, this arena held its breath. When Dida saved, the groans told a grimmer story.
This was always going to prove a contest to galvanise all Liverpool's players but, for the two locals in their midst, it arguably meant so much more. Gerrard had spoken beforehand of "an extra responsibility" taken on by he and Jamie Carragher as Liverpudlians and mainstays of this club. Whether all of the players who flitted around the pair last night have a chance like this again remains to be seen.
This was always going to be a third summer of change in succession at Liverpool under Rafael Benitez, regardless of whether this team claimed the club's sixth European Cup here, and for some it will have proved a swansong.
The manager has dollars to spend and a squad to overhaul with those on the periphery - and some who featured in this game - expected to move on primarily to ensure that an English Premiership challenge ensues in the seasons ahead.
