So the "special one" will have to wait at least another year to get his hands on the Champions League trophy with Chelsea.
The Blues were dumped out of Europe by Barcelona on Tuesday, with coach Jose Mourinho complaining that the first-leg sending off of Asier del Horno proved crucial.
BBC Sport asks ex-Chelsea captain and double Champions League winner Marcel Desailly and former European Cup winner Mark Lawrenson what the Stamford Bridge side must do in order to get their hands on club football's ultimate prize.
CHELSEA NEED TO CHANGE
If Chelsea want to win the Champions League, owner Roman Abramovich should go to Arsenal and ask them how much money they want for Thierry Henry.
If they had Henry, they could sit five in midfield just like they did on Tuesday and it's utopia, isn't it? We are looking at life in a perfect world.
Henry has been linked with a move to Stamford Bridge before
He is the one who could make the difference, so it will be interesting to see what Chelsea do in the summer.
It would be the final piece in the jigsaw for Jose Mourinho, who will not play two players up front. Henry could play the role to perfection - just like Samuel Eto'o does for Barcelona.
I'm not a Didier Drogba fan - he has that battering-ram effect, he knocks people over and is a threat, but that will only take you so far.
I like Hernan Crespo a lot, but he needs to play up front with someone else - most strikers at that level do, to be fair, even the likes of Andriy Shevchenko at AC Milan.
As for Mourinho himself, I was disappointed with his behaviour both before and after the second leg at the Nou Camp. To be honest, I found it all a little condescending.
All that stuff about walking out of the airport first to protect his team - it's rubbish. Players are big enough to cope with that, it's part of the job.
Even after the game, saying Barca hadn't beaten them 11 versus 11 - sometimes you should just hold your hands up and say you've lost to the best team in Europe. There's no disgrace in that.
People would think more of him if he did that.
CHELSEA'S TIME WILL COME
People had been been saying Chelsea were great because they worked as a collective. Now they complain the team needs an individual who can make a difference.
Just because they have lost one game against Barcelona - the first leg at Stamford Bridge when they had 10 men - we are told they lack a playmaker.
The players have to realise they are still great. They are still in control in the Premier League and are in the quarter-finals of the FA Cup.
And we must remember that Barcelona, Chelsea and Juventus are the best three teams in Europe.
When they play each other, the match will be decided by the smallest of details. Basically, the team that makes the first mistake will pay, and that was Chelsea in the first leg.
When I won the Champions League with Marseille (in 1993) and AC Milan (1994) we had great players, but the most important thing was that we pulled together as a team.
Take Milan. We had some of the best players in the world - Dejan Savicevic, Franco Baresi, Zvonimir Boban and Jean-Pierre Papin - yet it was difficult to single any one player out as making the difference.
We were simply a great team. This is the ethic you need to be successful and it is the ethic that Chelsea have.