The shootout finished 6-5, with Kostas Tsimikas scoring the winning spot-kick after Mason Mount's effort was saved by Alisson Becker.
It was another right affair between Chelsea and Liverpool which went to penalties just like the Carabao Cup final.
Just like the previous tournament, Liverpool came out victorious in end.
Chelsea skipper César Azpilicueta lost the penalty as he struck the woodwork but Sadio Mane coming face to face with fellow Senegalese Edouard Mendy lost the kick that could have won it for the Reds.
Into the realm of sudden death, Mount's kick was saved by Alisson while Tsimikas scored the winning kick for Liverpool.
Liverpool now have two trophies in the bag with two more at stake -- the Champions League final against Real Madrid and the close race for the Premier League.