Cole struck a classic poacher's goal in the 68th minute to clinch the trophy for Rovers and a place in the UEFA Cup next season.
We certainly had the chances to win an entertaining final and will look at key misses by Les Ferdinand just before the break and Gus Poyet on the hour and a crucial decision by referee Graham Poll to wave away Teddy Sheringham's penalty appeal in the closing minutes.
But Rovers dug in defensively, Brad Friedel came up big when called on and it say it was all about us would be unfair on Graeme Souness's men.
Christian Ziege always looked like the man to unlock the door in the first half.
It took only five minutes for the first warning sign as Sheringham found the German wide, he cut in and, with time to weigh up his options, curled inches over from 20 yards.
We enjoyed plenty of possession in the early exchanges and then the first chance. Poyet cut Rovers open and sent Ferdinand free on goal. He looked to have gone around Friedel only for the keeper to get his fingers to the ball and flick it to safety.
Rovers, always bright going forward, took the lead against the run of play after 25 minutes. Jansen won a crucial header to Gillespie and his shot deflected straight into the path of the unrushing striker, eight yards out and he drove it under Sullivan.
The goal seemed to rock us momentarily and Rovers carved out another great chance two minutes later. Duff's shot from the left angle was saved low by Sullivan and the rebound trickled agonisingly towards Jansen only for Thatcher's last-ditch tackle to save the day.
Sherwood was booked as Rovers pushed on but we soon recovered our poise and struck back within seven minutes.
Poyet again found the space to release Ferdinand into the right channel of the box, he sold Berg completely, looked up for support and gleefully found Ziege rushing in at the far post. He made no mistake from close range and we were all square.
Good chances followed at either end. After 41 minutes Taylor intercepted a pass intended for Ziege, carried it to the edge of the box and slid a lovely pass into Cole whose first time shot was saved well by Sullivan.
A minute before the break and we should have gone ahead. Sherwood found Ziege whose cross picked out a charging Ferdinand, 10 yards out, only for the striker to head straight at Friedel, who did well to parry it away. Either side and it was a certain goal.
The second half started at a frantic pace but there was nothing in the way of chances until just before the hour.
Sheringham's glancing header found Poyet breaking forward, he skipped around Johansen and was through on Friedel only to lift his shot over the keeper, onto the bar and to safety.
King stepped out of defence to great effect a few minutes later, switched play to to Ziege, he played it inside to Poyet whose drive was saves well at full stretch by Friedel.
But then Cole's goal, from absolutely nowhere. A long ball from Berg was initially dealt with by King but Jansen nipped in to win possession, the ball bounced between Cole and Thatcher and Cole managed to hook it into the corner from 14 yards.
Davies and Iversen came on as we piled forward with time running out.
Then the key decision. King latched onto a loose ball in the area, was tackled, Sheringham picked up the second ball and was upended by Johansen but furious appeals were waved away by referee Poll.
It still wasn't the end though. With the clock ticking into injury time, Sheringham's deep cross was headed back across goal by Iversen to Ferdinand who could only look in horror as Friedel somehow kept out his six-yard header.
And that, as they say, was that.
Andy Cole, who else, put our European dreams on ice as we tasted Worthington Cup Final misery in Cardiff.