Cole still feels the hurt from missing a gilt-edged chance in the closing stages of their FA Cup semi-final against Liverpool at Old Trafford in 2006.

Chelsea lost out 2-1 to the Reds, who went on to beat Cole's former club West Ham in the final.

"We would have played West Ham in the final that year, so you would have definitely fancied us to win the double," said Cole.

"I was very disappointed because that was one of my best seasons in a Chelsea shirt. I had a great chance, the ball dropped to me five yards out and I skied it into the stands. Two minutes later the whistle goes and I got on the coach feeling I had let people down.

"You remember those things as a footballer. I remember the misses, that was the worst I ever experienced.

"It would be really special if we won the double this season, only six teams have done so, but it's hard and we're a long way from doing it."

Meanwhile, coach Carlo Ancelotti is looking forward to his second visit to Wembley this season.

Ancelotti's first trip ended in a penalty shoot-out success over Manchester United in the Community Shield and he is ready to enjoy another glittering occasion.

"I was there only one time at the Community Shield, I was never there as a player," said Ancelotti.

"I have good memories of that day. It was the start of the season and we won on penalty kicks. I was surprised with the crowds at start of the season, in Italy people stay on holiday, so it will be the same on Saturday and will be very exciting to play in a packed stadium."

Ancelotti is expecting a vastly different game than last month's Barclays Premier League meeting with Villa at Stamford Bridge when Chelsea won 7-1.

The Italian insists he cannot remember being on the end of such a devastating defeat but knows they hurt.

"I don't like to be reminded about defeats, the worst was with Milan when we were 3-0 up against Liverpool in the Champions League final and to lose that was not easy for me," he said.

"We won't have any advantage from that victory, it know it will be a different game, Aston Villa will be more concentrated and have more determination and maybe want to change something on the pitch.

"Aston Villa are a good team with good organisation and they had some injuries ahead of the last game. They are having a fantastic season."