In true Leicester fashion, they went down fighting.
They refused to give up even when the odds of going through looked longer than a 5,000/1 shot.
And that is why the nation has loved Leicester’s fairytale and will be so sorry to have seen the final chapter played out at the King Power Stadium.
They were undone by Atletico Madrid’s extra quality and European experience but the second half was a rousing reminder about Leicester’s never-say-die spirit.
Jamie Vardy got a goal back, they laid siege to Atletico’s penalty box in the closing stages but just could not find a way through against a genuine European heavyweight who have reached the final twice in the past three years.
Most teams would have thrown in the towel as soon as Saul Niguez put Atletico ahead which meant Leicester needed three goals to go through.
But no one told Vardy the script and his determination and fight epitomised Leicester’s battling qualities and, by the final whistle, the KP Stadium rose one last time for their heroes.
Atletico coach Diego Simeone, one of the toughest customers in the Champions League, embraced every Leicester player to show what he made of it all.
Simeone loves being the underdog, revels in his street fighter reputation and that is exactly why he showed Leicester so much respect for their efforts.
Don’t forget that Leicester, despite European rookies, have not lost at home in the Champions League and gave Atletico one hell of a game.
The sad reality is that it is all over now, of course. Back to being mid-table in the Premier League wondering whether it was all just a dream.
But the beauty of this adventure is that no one will ever be able to erase the glorious memories even if it is difficult to imagine Leicester being back in the Champions League any time soon.
Maybe that is why every European night has felt so special, the atmosphere was electric again and yet this time Atletico had just too much. Their pedigree ensured they could not be swept away by the home side’s sheer enthusiasm.
But, in fairness to Leicester, it was not just about fight and grit. Craig Shakespeare made a double substitution at half time, switched to a back three, moved Riyad Mahrez to the middle and his tactical nous completely changed the momentum of the game.
Shakespeare has, of course, only been given the job until the end of the season but surely he has done enough to get it permanently. He has gone toe-to-toe with one of the best managers in world football and not been intimidated.
Even when Atletico started so well, so powerfully and so convincingly, Leicester did not buckle. Antoine Griezmann showed his class, Atletico pushed Leicester back and they deserved to go ahead after 26 minutes.
Atletico put together a six-man move, Wes Morgan stuck out a leg to stop Koke’s pass but then Filipe Luis’s brilliant cross from the left picked out Saul.
The Spain midfielder then powered home a wonderful header with precision power, focus and concentration to give Leicester keeper Kasper Schmeichel no chance of reaching the ball before it flew into the far corner.
You could feel the hope drain out of the stadium, Leicester’s fans knew they had used up so many miracles in the past couple of seasons that they had no right to ask for another.
But with Vardy, you always have a chance. Ben Chilwell and Leonardo Ulloa came on, Leicester went direct and Atletico suddenly looked under the cosh. Griezmann provided the odd bit of respite but generally, Leicester were just pinning back Simeone’s men.
Chilwell’s 61st-minute shot was blocked by Atletico substitute Lucas Hernandez, Vardy seized on the rebound and smashed the ball into the top corner. Leicester still needed two more goals – but suddenly you felt it was possible.
Vardy snatched at another chance, Ulloa had another effort blocked, Chilwell went close and Atletico defender Stefan Savic made two excellent blocks while keeper Jan Oblak made good saves.
Right up until the final whistle, Leicester kept pressing – and the crowd loved it.
They brought down the end of this remarkable story with a deafening noise, a huge appreciation of their heroes and a brilliant adventure no-one will forget.