Benfica's youth team went out on penalties against Shakhtar and failed to make the Final Four in Nyon for the UEFA Youth League.
João Carvalho put the reds ahead on the 41st minute after complete domination in the first half.
Romário Baldé wasted a great opportunity to convert the penalty which would have seen João Trolhão's men two ahead, however his artistic effort was easily gathered by the Ukrainian keeper.
Shakhtar then equalised and forced the match into penalties, which they won by 5-4.
Benfica's president left a vote of confidence for the youngsters:
"Today you tripped but didn't fall. You are a group of youngsters with a lot of quality and are led by a fantastic coaching team. The Caixa Futebol Campus academy has earned a lot of respect already and it's not penalties that will take that away."
"I am proud of your work and great confidence for the future."