SO WHERE were they? Where was the Sheffield United that played Preston off the park over two legs?
The United that passed and moved and flew down the wings.
The team that bossed midfield, took risks, made chances and had Bramall Lane rocking in the semi-final?
On the biggest day on the biggest stage in front of 80,501 paying fans and a worldwide TV audience of a billion, they just couldn't find their best.
So many high hopes, 60 million at stake and fans desperate for Premier League justice.
They tried, God love 'em they tried. They ran and they scrapped and threw themselves into challenges and ran some more.
They started well and were the better side until the goal.
But after that the Blades were a blunt instrument against a Burnley side that got its tactics spot-on.
Playing on the counter attack for much of the game Owen Coyle's men played one up front, filled midfield with bodies and stopped United passing the ball in front of their defence.
Two banks of four, they say on Match Of The Day, this was more a four and a five.
It worked for Burnley who were solid at the back and could have won by four goals but for some heroic last-ditch defending from Nick Montgomery and the Kyles Naughton and Walker – the two classiest players on the pitch.
With no Henderson to relish, as has sometimes been the case since the departure of James Beattie, United lacked a killer instinct in front of goal.
But it was more than that. They hardly got in front of goal.
When they did get close they suffered from two poor refereeing decisions, one understandable the other baffling.
At first glance there was a doubt about the 'foul' on Brian Howard in the 15th minute, on the replay it looked like a penalty.
There was however no doubt when Christian Kalvenes took out Kyle Walker with his thigh, shoulder and elbow as he zipped past him 15 yards from goal in the 68th minute.
What made it harder to swallow was the way referee Mike Dean seemed to enjoy – through his exaggerated gestures of refusal – turning down United appeals.
A travesty that whipped Blades fans into a froth of indignation, their hard-done-by roars claiming spot-kicks for every conceivable contact..
No matter how a team is playing, decisions like that change a game. Had United scored a penalty Burnley might have had to chase the game instead of waiting for United.
But when the anger has ebbed away and the all-consuming sense of injustice lost some of its corrosiveness, even the most one-eyed of United fans will agree that the Blades, on the day, weren't up to it. Two sendings-off just about summed up the day.
"Just once I'd like to come here and have something to cheer about," said one Dad to his son on Wembley Way after the game.
"Today, again, there was nothing, nothing at all. I'm sick of being a good loser. Straight up or nowt next time, I'm not having this again."
As he, his son and thousands of other Blades fans trooped sullenly towards the steps at Wembley Park tube station there was a Burnley family waiting at the bottom.
A couple of their four- and five-year-olds were, quite innocently telling Sheffield United fans that Burnley were winners and the best.
Most took it in good part but one Unitedite shouted close up at the kids: "Oh shut up, there's no such thing as Santa Claus you know."
The child's reaction was quiet puzzlement, a bit like the disillusioned Blades getting onto the trains. He might even have suspected it was coming.
But, like the red and white hordes from Sheffield, he'll get over it. We all have to believe in something.Minute by agonising minute from Wembley
1 Tumultuous noise at both ends. Monty nervous first touch. Beattie goes down holding his head, nothing doing.
3 First shot. Kyle Walker's volley on the drop is deflected but straight at keeper Jensen.
6 Stephen Quinn's 20-yard volley blocked, United looking better side.
9. Great tackle Monty, Beattie blocked by Clarke Carlisle and screams at referee Mike Dean He gets nothing.
10. Howard's 20-yard shot easily saved. Beattie again complaning of shirt-pulling.
13 GOAL. Out of nowhere with United dominant. Blades midfield fail to stop the storming run of Wade Elliott and he plays in the marauding Martin Paterson. Paterson moves the ball onto his left foot but his shot is blocked by Killgallon.
It falls kindly to Elliott who curls a beauty into the top corner from 25 yards giving Paddy Kenny not a prayer.
15 Brian Howard goes down and screams for penalty. Mike Dean waves him away. Howard has a word in his ear. Replay shows Howard was probably right.
20 Burnley's Chris McCann heads over from a corner. Blades still stunned from the goal.
21 Cotterill fouled, free kick wasted. It's hot and hard work out there, especially for United who can't find any rhythm. Yesterday it was 100 degrees at pitch level. It's probably about the same today.
23 Carlisle booked for challenge on Halford. United fans recovering.
29 Paterson scares the Blades again with a curler just past the angle. Burnley carrying more threat, United struggling to make an impression.
38 Blackwell stands alone, arms folded in the Wembley sunshine as his team toils in the heat. Is there a plan B?
42 Thompson coming from behind Morgan to challenge for headers. Clarke Carlisle is on the end of everything United try at the other end – which is mainly high balls.
Half time approaches and United can't beat them for pace, can't get round the back, put a decent cross in or pass through them. It's looking grim.
Burnley packing midfield and playing Thompson up front on his own, filling space and strangling United's passing in front of the Burnley back four. Blades have no answer to it.
n46 Beattie fuming again after the ball hits Paterson's hand on edge of the area.
Half-time. So far United are a bit one-dimensional and unable to make any impression on the Burnley defence. They're trying all right, putting the work in but it's fruitless.
46 The excellent Naughton breaks down left feeds Halford, cross cleared easily.
48 Burnley work the ball along United's goal line. Another corner flicked on, Michael Duff slides ball just wide. Too close for comfort.
53 United corner, huge roar from Blades fans, just to remind the team they're still in it. Halford heads high, keeper claims. United fans find their voice again.
55 United off the hook. Paterson crosses, Thompson heads, Gudjonsson flicks, Monty scrambles off the line without really knowing too much about it. Captain Morgan screams at his besieged troops.
57 Burnley turning the screw – three corners in quick succession. All cleared but United can't get out of their own half.
58 Ward on for Cotterill – has he the pace and trickery to make a difference?
58 Howard can't chest ball down in six yard box – cleared
62 Burnley can sniff glory now. Fans 'ee aye ee aye ee aye oh' is deafening, repetitive but deafening.
Blackwell cajoles, rollocks and pleads from the touchline as the din threatens to engulf his team.
Referee Mike Dean seems to be enjoying giving decisions against United.
65 Offside not given when Burnley's Steve Thompson looks three yards off. Thompson squares to Blake to finish the job eight yards out, but Kyle Walker is Eddie Colquhoun, Nemenja Vidic and John Terrry rolled into one to to block Blake superbly as he shapes to sidefoot home.
68 At the other end the classy Walker charges down the wing and is smashed to the ground by Kalvenes in the area. A clear penalty. Dean denies with relish.
Blades fans want a penalty for everything now.
72 Jamie Ward shot from the deadball line charged down by keeper Jensen and cleared.
75 Jamie Ward booked for handball
76 Paterson works a shooting angle after long run now it's the other Kyle, Naughton to the rescue with a superb defensive block
78 Handball! Jamie Ward tries to control Killgallon's cross, second yellow – off. Ward only on for 20 minutes he must have handled the ball more times than he kicked it.
82 Lupoli for Howard. Last throw for Blackwell.
Burnley cocky and dangerous, their fans all standing up, United's all sitting down.
86 United fans start to trickle, shoulders slumped, out of the 80,501 crowd.
89 United huffing and puffing but making little impression. Jensen has hardly had a save to make all game. Walker gets a whack on the head, he recovers
Five mins stoppage time.
91 United throw everything forward. A three-on-three break for Burnley but Monty makes the block. United still alive but hardly kicking.
93 Burnley songs ring round the ground with power and gusto, they sound like winners
It's over. But that doesn't stop United's Lee Hendrie getting a red card after the final whistle, just to top things off.
Burnley are going up, United are going home.