But he hopes for better fortune this season.
Terry told Chelsea TV: "Until we win that trophy I'm not going to die a happy man, that's a fact. I realise now that going out of the competition last season made us stronger in the League.
"But I will never give up hope of winning that trophy. I owe it to every Chelsea fan because of what happened in the final in Moscow two years ago. I still hold that as a big responsibility, I let the fans, players and the club down by missing the penalty.
"It would be nice if we did get a penalty or something like that when we should. Last season against Inter, Salomon Kalou should have had one home and away.
"We were almost perfect in the group stages but then in the knockout phase you only need to have two bad days and you're out. We didn't play as well as we should have done out there or at home. We should always fancy ourselves to score at home but we didn't. We just weren't good enough.
"But one year on, with the squad of players that we have, we are good enough to go all the way. You just need that bit of luck."