To be fair a lot of other teams supporters have also suffered cup final heartbreak at your hands, 2001 was the worst for me, battered you for 80 minutes, then Owen popped up with 2 goals and it was over, we'd won nothing for 4 years, had that Giggs goal from 2 years earlier, and it seemed we won't win anything ever again no matter what we do.
West Ham fans are probably still heartbroken about that gerrard goal from about 40 yards, and imagine being 3-0 up in a European cup final and not winning it. You also beat Everton in the cup final, after a 3-3 draw? That must've hurt.
When you get to finals regularly, you'll have the highs and the lows, I prefer both to not even getting there.