The home side had led twice in the match - which ended 3-3 after extra time - but, they could not come up with the answers from the spot as two-goal Ricardo Oliveira and Lucas Neill both missed.
Oliveira scored his side`s first after Macelo Camacho had put Al Ahly ahead, and Matias Delgado then put Jazira ahead after the break.
Substitute Emad Al-Hosani made it 2-2 in the 75th minute - just 10 minutes after coming on - to take the game into an extra 30 minutes, and Oliveira thought he had won it when he scored in the 113th minute.
But Victor Simoes scored with two minutes left, setting up the penalty drama that followed.
Things were slightly more routine in the day`s other game, with Sepahan earning a 2-0 win over Esteghlal in a battle involving two of Iranian football's powerhouses.
Both of the goals came in the first half, with Bruno Correa on eight minutes and Mohsen Bengar after 35 minutes doing the damage.