Sevilla led 2-0 from the first leg but looked on their way out as Valencia scored three times at the Mestalla through Sofiane Feghouli, an Antonio Beto own goal and Jeremy Mathieu to take a deserved 3-2 lead on aggregate.
However, just as it looked as though Juan Antonio Pizzi's side would record another remarkable recovery having overturned a 3-0 first-leg deficit to beat Basel 5-3 in the quarter-finals, on-loan QPR midfielder Stephane Mbia rose to power home a header four minutes into injury time for the decisive away goal in a 3-1 defeat.
There was not enough time for crushed Valencia to respond after that as 2006 and 2007 UEFA Cup winners Sevilla held on for a final showdown against Benfica.
The result was incredibly harsh on Valencia, who did all they could do reach the showpiece for only the second time in their history, having lifted the title in 2004.
The home side signalled their intentions right from the off, creating a decent opening inside the first two minutes following a slick move.
Visiting keeper Beto was equal to Jonas' shot on that occasion, but he was powerless to prevent the home side taking the lead 12 minutes later.
Feghouli combined well with Eduardo Vargas down the right as he made his way into the box, where the Algeria international turned inside Federico Fazio and lashed in a left-footed shot that deflected into the roof of the net.
Buoyed by that early breakthrough, Valencia continued to power forward and it needed a fine save from Beto down to his right to keep out Feghouli's low shot.
Valencia would not be denied though, and they made it 2-0 in the 25th minute to level the scores up on aggregate.
Juan Bernat's cross from the left was powerfully headed goalwards by Jonas, and although Beto did brilliantly to turn the effort onto the underside of the bar at full stretch, it bounced down and struck the falling goalkeeper's back before rolling over the line.
It was all Valencia, but they survived a massive scare in the 35th minute as Jose Antonio Reyes nearly pulled a goal back.
Carlos Bacca's attempted back-heeled shot deflected to the unmarked Reyes at the far post and it needed a superb sprawling block from Alves to deny the former Real Madrid winger.
That looked a certain goal, yet Valencia survived and went into the break still level on aggregate.
The hosts still needed another goal though and Sevilla, who had come into the game having won 13 of their previous 17 matches, were able to regroup at the break and make things tougher for their opponents.
However, midway through the second period, Valencia got the goal that put them ahead for the first time in the tie.
An outswinging corner rebounded kindly to the unmarked Mathieu on the edge of the six-yard and the defender smashed an unstoppable half-volley high above Beto and into the back of the net.
Sevilla pushed hard in the closing stages for the goal that would save them but it looked like coming to nothing - until they won a throw-in near the corner flag with the five minutes of stoppage time almost up.
The ball was launched into the area, where it was flicked on before being met by the rising Mbia at the near post and his thumping header beat Valencia keeper Diego Alves to spark wild celebrations from the visiting camp.