Having already lost the first leg 1-0 in Pretoria on Sunday, the Red Devils needed to overturn their defeat to advance, but they fell short in the second leg.
With the support of over than 50,000 fans, Ahly started strongly and earned an early penalty in the 7th minute when Sundowns' goalkeeper fouled Ahly's South African forward, Percy Tau, inside the area.
However, spot-kick specialist Ali Maaloul failed to convert the penalty as the keeper, Ronwen Williams, denied his powerful shot in the 11th minute.
Two minutes later, Ahly came close to scoring after a blunder from Williams, who failed to collect an easy ball.
A defender attempted to clear the ball, but it struck Ahly forward Mahmoud 'Kahraba' Abdel-Moneam, only to be denied by the post.
Another opportunity arose in the 20th minute, but the keeper's error was cleared by a defender before Kahraba could intervene.
Kahraba also missed controlling a nice cross from Emam Ashour from the right flank, with his effort going wide.
In the second half, Ahly's pressure eased on Sundowns, who were content with wasting time and maintaining ball possession.
The Ahly coach introduced three new players in the 70th minute, but his Moroccan winger, Reda Slim, unfortunately sustained a shoulder injury just five minutes after coming on and was replaced by Ahmed Abdel-Qader.
Sundowns' substitute winger, Junior Mendieta, received a direct red card for a harsh tackle on Ahly defender Akram Tawfik in the 85th minute.
The remaining minutes offered no significant chances for Ahly, and the referee blew the final whistle.
Despite their elimination, Ahly will receive a prize of $1.7 million for reaching the semifinals.
In the final, Sundowns will face Moroccan side Wydad de Casablanca, who secured their spot by defeating Esperance de Tunis 5-4 in a penalty shootout in the other semifinal earlier on Wednesday.
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