Yeah I think like that too, rather lose in the QF or Last 16, than on the Final on penalties (which has happened to me twice in the CL final)
I've lost 5 CL finals, Lost 2 on penalites after 2-2 draws, lost 2 finals 2-0, and lost a final 5-0 when played 4-4-2 against a ND when I never thought there is such a thing as counter formations around. BUT I never visited T11 forums (old or new forum) around then.