Terry slipped as he took the penalty that would have given them the coveted European crown but Manchester United went on to clinch a hat-trick of titles when Edwin van der Sar saved from Nicolas Anelka in Moscow.

It was a dramatic end to an emotion-filled evening in the Luzhniki Stadium but defeat was particularly hard to take for a Chelsea side that had dominated the game after the first half-hour.

Cristiano Ronaldo had put United in front in the 26th minute but Lampard levelled on the stroke of half-time.

Chelsea then twice hit the woodwork through Lampard and Didier Drogba before the game went into extra-time and then penalties.

Petr Cech denied Ronaldo from the spot to give Chelsea the advantage but Terry could not hit the target from 12 yards and United stole the initiative to win the trophy for a third time.

But Lampard, whose mother Pat died last month from pneumonia, tried to console a tearful Terry by telling him there were more important things in life than a game of football.

"John cares as much, if not more, as anyone at the club," said Lampard. "He is Mr Chelsea through and through.

"He is the sort of character you want in the team next to you and I like to see someone care like that. I have been through it in the World Cup and I know how much it hurts.

"I just tried to tell John that it is a game of football. I can probably speak better than anyone about that at the moment. It is a game of football and there are more important things. That's what I said to him."

Lampard is convinced Terry will bounce back from his penalty setback just as he himself did after missing a penalty for England in the shoot-out against Portugal in the 2006 World Cup quarter-final.

"I know from my own experience when you are in that position what people say to you doesn't quite go in," said Lampard.

"But he is a strong man. It will be a frustrating summer for him because he cares so much. That is how it should be because he wants to win and he is strong. He will come back even stronger.

"It is disappointing because it was within our grasp and then John slipped.

"But take nothing away from John because he had the balls to stand up and take it. As a centre-half, not many would take the last penalty.

"We picked the penalty takers off the cuff. People were asked the question whether they were happy or not. John was happy to take the fifth because that is the sort of man he is.

"It was all working fine until he slipped. I would have put my house on John normally because he is a character. If he hadn't slipped he would have scored.

"It is frustrating because you work so hard to get to a Champions League final, you are the better team and then a slip like that and it all turns."

Lampard was adamant the better side lost and is frustrated that people will forget their performance when they look in the history books.

"We hit the woodwork twice and it is very frustrating because that won't be remembered too much," said Lampard. "After the first half-hour, we were the better team.

"You have to hold your hands up and say credit to Manchester United because they've won it and that is what everyone will remember.

"When you sit back and assess everything we will have pride in our performance.

"I think we will be back. We are a strong unit and we showed that. When we believe in ourselves and play the football we can, I don't think many can live with us - even Manchester United.

"When we played our football after half-an-hour I thought only one team was going to win it. We take pride in that but they have got the medals, so that is a frustration."

Now Lampard says Chelsea will acknowledge their achievements this season but still look improve the squad.

"This season, even though we have come away with nothing, has not been a failure," he insisted. "We've come within an inch of winning the Champions League and pushed all the way in the league.

"It has been a difficult season, as the season before was. Now it is very important that Chelsea, as a club, realise what we have done and improve that little bit more to get back to winning ways."