Terry was part of the Blues side that lost the 2008 Champions League final to Manchester United on penalties.
Terry missed a spot kick that would have won the game for his team, with his kick hitting the post before United went on to win the shootout.
He stated on the Up Front with Simon Jordan podcast: "I just remember standing looking over Moscow in my hotel, I was on about the 25th floor, just looking out.
"Just asking 'Why? Why then? Why did it start raining? Why did I slip?'. All of these things that go over (in your head).
"Probably the hardest thing was that three days later we met up with England. We had a friendly at Wembley against the USA.
"I ended up scoring a header from outside the box and that was probably the hardest moment.
"Because if I could swap any goal in my career it would be that. I scored a header from 18 yards and after the game it f****** broke me."
- Get breaking football news faster with the new Tribal Football app! Download now on iOS and Android to stay ahead of all the latest transfers and football updates. Download now: App Store, Google Play