Serbian defender Branislav Ivanovic scored in the 93rd minute to secure a dramatic 2-1 victory against a Portuguese side who had dominated the game in the Amsterdam ArenA.
Spanish striker Fernando Torres gave Chelsea the lead on the night, against the run of play, before Oscar Cardozo equalised nine minutes later from a penalty.
Interim Chelsea manager Rafael Benitez, who has proved an unpopular appointment with supporters after replacing Blues hero Roberto Di Matteo in November, hailed the win as a "special night".
"The players have worked so hard, all season. It was not easy. I'm really pleased, really proud," the former Liverpool manager told ITV in Amsterdam.
It is Chelsea's second European trophy in consecutive years, after their Champions League win in 2012, and they became first English team to win all three European trophies – the Champions League, Europa League and the now defunct Cup Winners Cup.
They will remain defending European Champions until the Champions League final on May 25, a game which will be contested by German giants Bayern Munich and Borussia Dortmund.
Benitez will take charge of Chelsea for the final time when they face Everton on Sunday. They are set to qualify for next season's Champions League sitting third in the English Premier League, two points ahead of fourth placed Arsenal and three ahead of fifth placed Spurs but with a vastly superior goal difference.
Should Chelsea draw 0-0 with Everton and Arsenal beat Newcastle United 2-1 on Sunday then we face the interesting prospect of a play-off.
Those two results would leave the London rivals on level points, goal difference and goals scored. The play-off winner would automatically reach the Champions League group stage.
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