The former Chelsea captain slipped and hit the post with the spot-kick that would've won the competition for the Blues against Manchester United in Moscow and confessed that he still feels the pain more than a decade later.
Terry told FourFourTwo magazine: "I still think about my miss to this day. Honestly – not as often as I used to, but I still wake up and it's there. I can see it.
"When you look back on your career, the trophies mean a lot but the ones you missed out on can haunt you and I won't forget that one. I don't think I'll ever get over it."
Terry admits that the pain truly hit when he was playing for England a few weeks afterwards.
He recalled: "I met up with the squad and came face-to-face with the Man United players – and to be fair to them, they were good as gold.
"Then we played the USA in a friendly at Wembley and I scored a header – a nice goal.
"That night, I sat alone, wondering, 'Why did the previous game have to hurt so much and this one go so well? Why can't they have swapped? Why did it have to rain in Moscow and not tonight?'
"I was broken by it."
Terry was a member of England's unsuccessful 'Golden Generation' but doesn't subscribe to the idea that club rivalries scuppered the Three Lions at major tournaments.
He said: "Yes, there was a massive rivalry between clubs, but I'm not sure that got in the way.
"I think the main reason for our lack of success was that other teams were very good at the time, possibly stronger than now.
"But there's no doubt we didn't fulfil our potential as a group. We had world-class players."