The two sides played to a goalless draw in the first-leg in Rashid Stadium in Dubai.
Al Ain started with a lot of purpose and were rewarded within four minutes with a goal.
Mohammad Fayez ran through the Al Ahli defence from the left and passed to striker Asamoah Gyan, who controlled it and turned to hammer a shot past goalkeeper Ahmad Ashoori to make the score 1-0.
In the 25th minute Al Ain's Omar Abdul Rahman sent in a perfect cross only for Jires Kembo-Ekoko to miss with a tap-in by missing the ball completely in front of goal.
Al Ain went into the half-time leading 1-0 but lost their way after the change of ends.
In the second half Ahli coach Cosmin Olaroiu brought on Luis Jemenez and Ahli were a different side.
In the 51st minute the visitors equalised after Humeid Salmein sneaked in with a header from a corner to draw level.
Two minutes later Ahli took the lead when Khalil latched onto a through ball from the right from Jemenez, blasting home with a low shot on the run to make the score 2-1.
In the 56th minute Khalil doubled the lead after he scored from a rebound following a shot from Everton Ribeiro that was blocked by Al Ain keeper Khalid Eisa.
Ain pressed hard and pulled a goal back to reduce the margin to 3-2 thanks to Asamoah Gyan's second goal of the night 10 minutes from time.
Raseed Eisa made it 3-3 with an injury time strike but it was not enough as Ahli went through after the first-leg between the sides ended in a goalless draw.