On a tense evening in Turin, Benfica managed to hold out for a 0-0 draw which saw them reach the Europa League final at the expense of Juventus.
The Italian side were trying to overturn a 2-1 deficit from the first leg in Portugal and knew that a 1-0 win would be sufficient to progress.
With the Europa League final being played in the Juventus Stadium, it had been suggested that it was destiny that Juventus would be there.
However, on the evening Juve were unable to get past Benfica even though the visitors ended up playing with nine men after Enzo Perez was sent off and Ezequiel Garay was stretchered off after they had made all their substitutions.
"There are regrets. Over the two legs we created so much and we should have done more," Chiellini told Sky Sport Italia after the game.
"Benfica deserve to be in the final because they played two great games but we deserve it more. We were eliminated after conceding two goals in two matches.
"I respect Benfica, who were hyped as an attacking side but proved to be very good at defending but, with all respect, it was supposed to be our final."
Benfica will meet Sevilla in the Juventus Stadium on May 14, which will be tough for Juventus fans to stomach.