Newcastle's audacious bid to become the first A-League Men team to pull off a domestic treble ended in heartbreak after a semi-final loss to Sydney FC on Saturday.
Saturday's semi-final tie at McDonald Jones Stadium was locked at 1-1 from the first leg, before Piero Quispe put Sydney FC on the front foot in the 64th minute.
Eli Adams sent the game into extra time at 1-1 with a sensational injury-time strike, but the visitors went on to prevail 4-2 in a penalty shootout, young winger Xavier Bertoncello being denied by Sydney goalkeeper Harrison Devenish-Meares before Ben Garuccio converted the match-winning kick.
Sydney FC will travel to face Auckland FC in Saturday's grand final across the Tasman, but Newcastle's grand final drought will extend into a ninth season.
The Jets last played in a grand final in 2018, finishing runners-up to Melbourne Victory.
"Of course it's difficult, because ultimately we fell short of our ultimate goal," Milligan said.
"But I'm extremely proud of the group. We've asked a lot of them from day one, and they've consistently responded.
"You saw again tonight the character of the group.
"They need to remember this moment, because if you want to be a team that is successful, then you need to make sure you learn from the biggest lesson, which was tonight."
Milligan said his mind has already turned to preparation for the AFC Champions League Elite, aiming to establish the Jets as consistent competition heavyweights.
In a remarkable transformation under the first-year coach and new owners, Newcastle reached their first finals series since the 2018 grand final.
The Jets also won the Australia Cup in October.
"We've got another massive season now coming up next year," Milligan said.
"That's why it's so important that tonight, that this feeling that they've experienced remains with them.
"We don't want it just to be for now. We want this to be sustainable.
"We want the people to keep coming back, and that's down to how we go about our business."
The Jets will be without star Lachlan Rose next season, with the striker moving to Scottish Premiership side Dundee United on a two-year deal.
"I don't expect them to stay together because that's normal in Australia," former Socceroo Milligan said of his squad.
"I experienced that as a player. I'm experiencing it now as a coach."
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