The brave Arsenal starlet stepped up to take England's fifth spot kick, but saw his effort saved by Gianluigi Donnarumma.
Saka's failure to convert from 12 yards resulted in Italy being crowned champions of Europe for the first time since 1968.
Chiellini - who is no stranger to using the dark arts to achieve victory - has now admitted that he uttered the word 'Kiricocho' as the England teenager stepped up to take his penalty.
Slow-motion footage of the Italian players huddled together shows the Juventus centre-back mouthing the word, before racing off to celebrate with Donnarumma after the goalkeeper's save.
Chiellini mouths 'curse' word
'Kiricocho' is a term that originates from South America and the story of how it came about is pretty darn bizarre.
The word itself takes its name from a supporter of Argentine club Estudiantes in the 1980s.
Now, the fan in question used to attend training sessions and whenever he appeared, a member of the playing squad would pick up an injury.
So Estudiantes' manager Carlos Bilardo decided to ask Kiricocho to turn up to matches in order to put a 'curse' on opposing teams.
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The team lost on just one occasion that season and the sole defeat was ironically during the only game that the supporter was not present at.
ESPN Argentina asked Chiellini whether he used the 'curse' in the Euro 2020 final and the 36-year-old stalwart decided to come clean.
Chiellini owns up
"Ciao, Cristiano," the veteran defender told a reporter. "I confirm everything to you. Kiricocho!"
Chiellini really will do anything to win, won't he?
Saka's penalty miss is sadly a moment football fans won't forget in a hurry and Gareth Southgate's decision to make him England's fifth taker is one that's been heavily criticised.
Jack Grealish, Raheem Sterling, John Stones, Jordan Pickford and Luke Shaw - players with far more experience than Saka - were all available to take the crucial spot kick.
But that's all in the past and now it's down to both England and Arsenal to help Saka overcome the toughest period of his young career so far.
Stay strong, Bukayo.