The veteran defender was emotional at the end of Chelsea's FA Cup semifinal defeat to Manchester City.
And wife Belle later posted to social media, "It (is) the last dance on (sic) Wembley," with a photo of herself waving a 'Thiago Silva' scarf.
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Thiago also posted to social media: "It is difficult to describe in words what I feel now.
"We are very sorry we didn't make it, we left everything on the pitch. Proud of this group.
"Thanks to all of you for never leaving us."