Lee, 38, took two wickets in as many balls to earn the chance of signing off with a hat-trick only for Yasir Arafat to scramble home for the winning run that earned the Perth Scorchers a dramatic four-wicket success in Canberra.
The paceman, who took 310 Test and 380 one-day wickets for his country, could have retired from cricket on a winning note but Sixers skipper Moises Henriques fluffed the chance to run Arafat out by yards and the Scorchers defended their title as a result.
Reflecting on Lee???s performance, Collingwood ??? who played for Perth Scorchers in 2011 ??? said: ???He???s been a great performer all of the way through his career.
???He???s given 100 per cent and run in hard right until the last ball. It???s a devastating way for him to finish but I???m sure he???ll get in the dressing room, have a beer and celebrate what has been an amazing career.
???I don???t know why he is retiring – you???ll have to ask Brett Lee! He???s fit enough, he???s still performing and it looks as though he is still getting emotionally involved in the game and is still enjoying it. You are a long time retired but he???s obviously got his reasons
???Lee does very special things; he kept the Sixers in the game all of the time. When he took those two wickets you thought ???surely not? Is it fairytale stuff? Could he get a hat-trick???????
But it was not to be as Henriques??? final-ball error tarnished a fine captain???s display; the skipper struck 77 off 57 balls to steer his team out of trouble at 49-4 to a respectable total of 147-5, then bowled four tight overs for just 21 runs to keep his side in the hunt.
However when presented with the chance to win the match, the 27-year old fluffed his lines.
???Moises Henriques had done nothing wrong all night until that last ball,??? said Collingwood, who captained England to World T20 Trophy in 2010.
???He???s got one task to do in a high-pressure situation ??? catch the ball and take the bails off.
???He certainly had more time than he thought. It???s frenetic ??? it???s come to him and the batsman has probably got two yards to make up.
???He got his positioning right behind the stumps; it was a great throw but maybe he took his eye off the ball. It???s absolutely devastating for everyone involved with the Sixers.???
He added: ???It was a great final but I have to say that Perth Scorchers have probably been the best side right throughout the tournament; their bowling unit is so, so strong that when you keep the opposition to 140-150, you are going to win more games than not.???