Big match winner was goalkeeper Ann-Katrin Berger who saved Lindsey Horan's penalty. Zecira Musovic followed the drama from the bench.
In added time of extra time, Chelsea were awarded a penalty after a lengthy VAR review. Lauren James got Vicki Becho's foot easily over her own and fell after the contact. Chelsea manager Emma Hayes fired up the crowd. Maren Mjelde thumped the penalty into the left crossbar for the 2-1 draw (2-2 on aggregate) in the 128th minute.
"A magical moment," say the commentators at DAZN.
Chelsea's Johanna Rytting Kaneryd was traded in for extra time and challenged directly with her rested legs in the rain. In the second quarter of extra time Magdalena Eriksson came close to causing a penalty but her arm was half a metre outside the penalty area so it was just a scoreless free-kick for Lyon.
Shortly afterwards, Ada Hegerberg recorded the ball in the penalty area. Eriksson stretched out to get it away but didn't get to it and Sara Däbritz was able to receive it and send in 2-0 and give Lyon the 2-1 lead on aggregate in the 110th minute.
Long break due to bloody injury
In the middle of the second half, Chelsea's Melanie Leupolz suffered a nasty injury. In a melee with Danielle van de Donk, she got her elbow right across her face and blood gushed from her nose. She sat down and remained there for care for five minutes before she was tearfully led off the track and replaced.
A couple of minutes after the injury break, Lyon scored 1-0, giving extra time for the eight-time champions who are also the defending champions. In a battle with Swedish international defender Magdalena Eriksson, she bumped the ball in after Lindsey Horan's fine effort from the right wing.
There was almost complete silence at Stamford Bridge except for the small away crowd cheering for Lyon in one corner.
Men's coach Graham Potter and several of the players followed the match from the stands.