Leeds manager Simon Grayson was proud of his players despite their failure to reach a third play-off final in four years.
Jimmy Abdou silenced a full house at Elland Road with a 73rd-minute equaliser for Millwall as the second leg of their League One semi-final ended 1-1 on the night, clinching the Lions a 2-1 aggregate win and a date at Wembley against either Scunthorpe or MK Dons a week on Sunday.
Grayson said: "We're hugely disappointed. It was a great atmosphere and the fans deserve to go up, but the players can be proud of what they've achieved."
Leeds striker Luciano Becchio had earlier levelled the tie early in the second half, sending most in a crowd of 37,036 into raptures after the disappointment of seeing Jermaine Beckford's penalty saved five minutes earlier.
Grayson added: "It's a bitter pill to swallow. The players were outstanding, we gave it a right go.
"We limited Millwall to very few chances and had the momentum, but probably just lacked a bit of quality in the final third to really test the goalkeeper."
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