On a rain-soaked pitch, a clinical Milan team punished United's defensive frailties, while Gennaro Gattuso and Kaka delivered glittering performances in the midfield. The Reds struggled to create any clear openings and gifted Milan two goals at the other end.
Rio Ferdinand was a surprise inclusion on the bench, as was striker Louis Saha, who's not played since the Reds travelled to Rome for the quarter-final first leg. But arguably the biggest boost came prior to kick-off with news that Nemanja Vidic would start for the first time since sustaining a broken collar-bone against Blackburn in March.
Vidic was tested in the first minute when Milan's dangerman, Kaka, flew by him on the left side of the penalty area. The Brazilian's acceleration was astounding but his low centre flashed across goal and out for a goal kick. It was an early scare for a United side intent on keeping a clean sheet.
Milan almost took the lead in the third minute when a loose ball fell to Clarence Seedorf on the edge of the box. The Dutchman's stinging shot seemed destined to sneak under the bar until Edwin van der Sar thrusted an arm skywards to deflect the ball over for a corner. In slippery conditions and on a brand new pitch, the Reds looked nervy in possession. Kaka shot straight at van der Sar on seven minutes but still United failed to take heed. Indeed, Sir Alex's men were punished four minutes later when the midfield maestro arrived unmarked on the edge of the area to volley the home side in front.
It was all too easy, as Seedorf won a header uncontested in the area and nodded the ball back to Kaka, who lashed at the ball with his left foot to send it arrowing past van der Sar and into the bottom corner. The strike, Kaka's10th in this season's Champions League campaign, levelled the aggregate score at 3-3 but put Milan in pole position on the away goals rule. It was now imperative United scored. But it took the Reds until the 20th minute to fashion a clear chance. When Ryan Giggs did, his 20-yard strike was easily smothered by Brazilian goalkeeper Dida.
Still Milan drove forward, looking confident and comfortable in possession in front of a passionate San Siro crowd. The Italian team's full backs, Massimo Oddo and Marek Jankulovski, were seeing a lot of the ball and making strong headway down the flanks. In comparison, United's attacks were laboured and neither Michael Carrick nor Paul Scholes were able to assert themselves on the game.
Things went from bad to worse for the Reds on half-an-hour when Gabriel Heinze put Vidic under pressure unnecessarily in the area. The big Serbian slipped, gifting the ball to Andrea Pirlo, whose cross was headed out to Seedorf on the edge of the area. The 31-year-old skipped past desperate challenges from Vidic and Darren Fletcher before firing low and hard into the same corner Kaka had found less than 20 minutes earlier.
United were 2-0 down and faltering badly. Memories of 1999 came flooding back, when the Reds, inspired by captain Roy Keane, overturned a similar scoreline to dump Juventus out of the competition. Eight years later, Reds' fans were hoping for more of the same. United did begin to ease into the game but never really tested the Milan defence. A Wayne Rooney thunderbolt, which slammed into Alessandro Nesta on its way to goal, was as close as the Reds came to reducing the deficit in the first half.
Neither side made any changes during the interval, although United emerged re-energised and more adventurous. Chances were still at a premium, however, as Gattuso, terrier-like in his pursuit of white shirts, acted like some kind of human forcefield. Milan were content to soak up the pressure and rely on counter attacks and Kaka almost put the home side 3-0 up when he broke quickly down the inside right channel. Vidic was unable to keep upwith the Brazilian, who turned inside and forced a sharp save from van der Sar. The Reds rallied and Fletcher and Scholes combined well to send Ronaldo free on the left wing. But the Portuguese winger was felled by Gattuso and blasted the resulting free-kick into the wall.
United's best chance arrived in the 63rd minute after a rare period of sustained possession inside the Milan half. Wayne Rooney, in a central position about 25 yards from goal, slipped the ball sideways to Darren Fletcher, who came storming through from the midfield only to slice his shot wide of Dida's left-hand upright. Minutes later, Rooney's low cross fizzed across goal and missed everyone, before a clever Ronaldo ball almost found the England striker at the back post.
Louis Saha was introduced on 77 minutes for John O'Shea but United's eagerness to get forward and pull a goal back ultimately cost the Reds. A minute later, Milan substitute Alberto Gilardino, on for Filippo Inzaghi just 10 minutes earlier, skipped through a massive hole in the heart of United's defence. With just van der Sar to beat, he calmly slotted the ball past the Reds' stopper to secure victory and lead Milan to yet another European Cup final.
It was a frustrating night for Sir Alex and his men, who, after such an exhilarating Champions League campaign, never broke out of first gear. United must now return to England and concentrate on the Premiership and the FA Cup.
Team Line-ups
United: Van der Sar; O'Shea (Saha 77), Brown, Vidic, Heinze; Carrick, Fletcher, Scholes, Ronaldo, Giggs; Rooney.
Subs not used: Kuszczak, Ferdinand, Richardson, Eagles, Smith, Solskjaer
AC Milan: Dida; Oddo, Kaladze, Nesta, Jankulovski; Gattuso (Cafu 84), Pirlo, Ambrosini, Seedorf; Kaka (Favalli 86), Inzaghi (Gilardino 67).
Subs not used: Kalac, Favalli, Bonera, Serginho, Brocchi
from Michael Ball. 
