Last night they could not be separated from Sevilla — Uefa Cup winners in 2006 and 2007 — over 120 minutes, and penalty misses from Oscar Cardozo and Rodrigo allowed sub Kevin Gameiro to prolong their agony.
Sevilla had most of the ball early on and might have scored through Carlos Bacca in the ninth minute.
The Colombian raced into the box to keep up with a swift counter-attack but, after coming up just short on Ivan Rakitic’s low cross from the left, he was in fact ahead of the move and ruled offside.
Rakitic looked especially determined to make something happen and his clever passes and skilful runs regularly rattled Benfica’s backline.
Alberto Moreno was, however, the first Sevilla player to truly test Jan Oblak, his drive from outside the box testing the Slovenian stopper.
At that point the Spaniards looked like turning the screw but it was Benfica who dominated before the break.
They would lament not being given the chance to notch from the spot in stoppage time.
Sevilla were first caught unaware as Maxi Pereira loped into the box to fire straight at Beto and were rather lucky to avoid conceding a penalty when Federico Fazio climbed all over the well-placed Gaitan.
Benfica pushed through that disappointment when play resumed, yet neither Rodrigo nor Lima could stick the ball away as Sevilla failed to clear.
Los Rojiblancos broke back and Jose Reyes could have tucked Rakitic’s dinked pass away had Luisao not sent the ball spinning wide with his toe.
Reyes then wasted a much better opportunity when arriving in the area to blast straight into Oblak’s gloves.
The call soon came from both benches to regroup and conserve energy for the final 10 minutes, which began with Rakitic’s canny – but unsuccessful – attempt to send Vitolo into a one-on-one with Oblak.
But extra-time seemed increasingly inevitable and, just after Garay’s desperate swing at a loose ball shot over the bar, the final whistle sounded.
And despite the best efforts of 22 tired players, a shoot-out resulted.
Lima and Bacca netted before Cardozo’s stuttering run-up saw him clip straight at Beto.
Stephane Mbia powered home and Sevilla were on the verge of claiming the trophy when Rodrigo was denied.
Coke scored, Luisao kept Benfica alive for a few seconds, but substitute Gameiro was soon wheeling away in celebration after beating Oblak to inspire rapture in the Sevilla supporters.
SEVILLA: Beto, Coke, Pareja, Fazio, Moreno, Mbia,Carrico, Reyes (Marin 78), Rakitic, Vitolo (Figueiras 110), Bacca, Marin (Gameiro 104).
BENFICA: Oblak, Pereira, Luisao, Garay, Siqueira (Cardozo 99), Amorim, Gomes, Gaitan (Cavaleiro 118), Sulejmani (Almeida 24), Lima, Rodrigo.
Referee: Felix Brych (Germany).