Al-Ain kicked off the game in impressive fashion, with goals from Fabio Cardoso and Seko Baba in the 6th and 11th minutes, respectively.
Jerson Lagos managed to pull one back for Auckland City in the 42nd minute, but Matias Palacios extended Al-Ain's lead to 3-1 just before halftime.
The second half saw Moroccan winger Soufiane Rahimi finding the net twice in the 78th and 90+6th minutes, while Romero sealed the victory with another goal in injury time.
Auckland City's striker Myer Bevan scored another consolation goal nine minutes into the second half.
The Asian champions are now set to face Al Ahly on October 29 at the Cairo Stadium.
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