Chelsea lost in Moscow to Manchester United in a penalty shootout, with Terry slipping and missing his spotkick.
"The dressing room after the game was like fire," Makelele recalled on talkSPORT.
"There was no happiness whatsoever – it was a sad place to be.
“We made a big mistake ahead of the penalties. We had an order which was agreed with the players and the manager, but it changed at the last minute.
“It was supposed to be Salomon Kalou taking the last penalty but John (Terry) took the opportunity off him.
"I think we lost this competition because football is very harsh sometimes and, if you don’t do things the right way, you get punished."
"John tried to be the hero"
Makelele says the blame for the defeat laid squarely at the feet of Terry.
He continued: “I was very angry when he missed the penalty because it was a chance that I knew a lot of the young players wouldn’t get.
"I’d won the Champions League before but, in this moment, John had to be the leader and do what was best for the team.
“He didn’t make sure we won the trophy, he tried to be a hero. If he knew this, he would have been a hero because he would have lifted the trophy.”