He was part of the Chesterfield team that rocked football by reaching the semi-finals in 1997 - he scored a hat-trick against Bolton in one of their shock wins.
But he was denied a place at Wembley - as 10-man Middlesbrough fought back from two goals down to force a 3-3 draw, before winning the replay 3-0. Then Davies was left out by Southampton when they reached the final in 2003.
With his 34th birthday looming this month, the Bolton skipper knows time is running out.
He said: "As players you don't get too many opportunities in the Cup, and the game is about winning and lifting trophies."