Here, Sportsmail looks at the Blues' past campaigns including their dramatic penalty shoot-out miss in Moscowback in 2008 - the closest they have come to lifting the trophy.
Blue woe: Terry, Essien and Lampard (from left to right) following defeat at Old Trafford ended their hopes of Euro glory for another season
Over the line? Luis Garcia's (right) infamous goal knocked Chelsea out in 2005
2003/2004Manager: Claudio Ranieri.Reached: Semi-finals.Downfall:Lost to Monaco 5-3 on aggregate after throwing away a two-goal half-time lead in the second leg at Stamford Bridge. Jose Mourinho was in the stands.Roman's campaign spend: ?121m.
2004/2005Manager: Jose Mourinho.Reached: Semi-finals.Downfall: Lostto Liverpool 1-0 on aggregate. Night of the infamous 'ghost goal' from Luis Garcia (left). Mourinho lost the plot when he saw the replay.Roman's campaign spend: ?91m.
2005/2006Manager: Jose Mourinho.Reached: First knockout round.Downfall: Lostto Barcelona 3-2 on aggregate. Chelsea led first leg in Spain until Didier Drogba was sent off for an dubious tackle and Barca hit back withtwo.Roman's campaign spend: ?54m.
Over he goes: Terry slipped as he took his spot-kick that eventually hit the post
2006/2007Manager: Jose Mourinho.Reached: Semi-finals.Downfall:Lost to Liverpool 4-1 on penalties. Both sides recorded 1-0 home victories to take the tie to extra time and ultimately pens.Arjen Robbenand Geremi missed.Roman's campaign spend: ?52.5m
2007/2008Manager: Avram Grant.Reached: Final.Downfall: Lostto Man United 6-5 on penalties. John Terry slipped (left) when his penalty would have realised Abramovich's quest for the holy grail. Nicolas Anelka also missed.Roman's campaign spend: ?42.2m
2008/2009Manager: Guus Hiddink.Reached: Semi-finals.Downfall:Drew 1-1 with Barcelona but lost on away goals. Referee Tom Henning Ovrebo infamously ignored two clear calls for Chelsea penalties in second leg. Roman's campaign spend: ?24.1m
On their way: Eto'o celebrates his Bridge strike
2009/2010Manager: Carlo Ancelotti.Reached: First knockout round.Downfall:Lost to Inter Milan 3-1 on aggregate. Jose Mourinho, knowing the Chelsea team inside out, set up an Inter side who were tactically superior over two legs.Roman's campaign spend: ?23m.
2010/2011Manager: Carlo AncelottiReached: Quarter-finals.Downfall:Lost to Manchester United 3-1 with Ancelotti left ruing the decision tostart with Torres over Drogba.Roman's campaign spend: ?94.8m.
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