Antony expressed pride in his journey to the Conference League final with Real Betis, while also sharing his sadness following their defeat to Chelsea.
The Spanish topflight side sparked hopes of a fairytale finish after taking the lead against the Premier League giants, but it was short-lived.
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The Blues responded with a dominant second-half performance to seal a commanding win and complete their European trophy collection.
"The sadness is for getting so close… but the pride I feel now is much greater!" Anthony wrote on Instagram.
"How proud I am to wear this shirt and build such a beautiful story. We made history, know that. To all the fans who followed us at every moment, I say with all the sincerity in the world: you made us stronger!"