They arrived dreaming of Saint Etienne, of Auxerre, of Olympiacos, of AC Milan. They brought flags and shouted themselves hoarse in the hope that maybe, just maybe, this would be one of the great Liverpool European comebacks.
And for a while, a good while, when Luis Suarez floated a beautiful free-kick into the corner of the net to level the aggregate score at 3-3 and Anfield's volume reached a level to make the hairs on the back of the neck stand up, it looked as if mission impossible would be accomplished. Zenit rocked and wobbled. Ultimately, though, they did not crumble. Liverpool's European adventure is over.
With 20 minutes gone at Anfield, Liverpool needed four goals to stay in Europe. With 30 minutes to go, they needed only one. But it proved one too many. As in Istanbul on a crazy May night eight years ago, Liverpool showed enormous strength of character to pull back a three-goal deficit on the European stage. But while AC Milan were eventually overcome, Zenit did not succumb. The bolt of lightning did not strike twice.
Brendan Rodgers has spoken of this as being a time of transition for Liverpool. "This was never going to be a bolt-of-lightning season," he said on Wednesday. Indeed, there have been times when it has threatened to become a wet blanket of a campaign; knocked out of the Capital One Cup in October, humiliated in the FA Cup by League One Oldham in January, and Champions League qualification rarely anything more than a distant dream.
The Europa League offered one final chance of glory in Rodgers' first season as manager. Now that has gone too, but the manner in which they almost salvaged their place in the competition has given the manager hope that next year will be better.
"Even though we lost the tie, the football club and the players showed why they're part of probably the world's greatest football family here at Liverpool," he said. "The atmosphere was terrific and so was the level of effort the players put into the game. And to have to come back from a three-goal deficit, and put in that effort, quality and character was just absolutely phenomenal."
As far as Rodgers was concerned, the supporters deserved just as much credit as the players for creating such a noisy atmosphere.
"It was absolutely breathtaking," he added. "One of the real values of this football club is unity. Everyone came together and we just missed it. But hopefully there'll be many more occasions like this."
Rodgers could point to misfortune and misadventure as the reasons his side fell short. They got the three goals they had needed to turn round their 2-0 first-leg deficit. But it wasn't enough - because of an error made by arguably their most reliable player of late.
Jamie Carragher's 150th European appearance for Liverpool turned out to be his last; and sadly for him, an otherwise fine performance was spoiled by the under-hit back pass that allowed Hulk to stride through and score his second goal of the tie in the 19th minute.
"It's probably the first mistake I've seen him make since I've been at the club - and that includes every day in training," Rodgers said.
"I thought he was brilliant, the way he controlled Hulk, who is a real threat with his strength and power. "I'm disappointed for Carra because he's a brilliant professional. He deserved to go into the next round, but it's not to be."
Yet for a while, it looked as if it might be. Liverpool were tense and hurried in their early play, but with nothing to lose after going 3-0 down on aggregate, they threw off their mental shackles.
Suarez blasted a free-kick through a hole in Zenit's wall created by Lucas Leiva and Jordan Henderson. Then Joe Allen scored with a follow-up after his close-range header from Jose Enrique's low left-wing cross had been parried by keeper Vyacheslav Malafeev.
Zenit coach Luciano Spalletti grumbled that Nicolas Lombaerts had been fouled in the build-up to Allen's goal, and the Zenit defender left on a stretcher with an Achilles injury.
With Liverpool only one goal down on aggregate at half-time, salvation seemed possible.
But Rodgers was left frustrated by a rejected penalty appeal five minutes into the second half, when Tomas Hubocan completely misjudged the bounce of a ball, and his arm made contact.
"It certainly was a penalty," Rodgers said. "Everyone could see that. And it looked a clear penalty. It wasn't one there was any debate on. The fourth official, fifth official, whatever you want to call them, was standing behind the goal looking clear at it."
Another Suarez free-kick just before the hour mark gave Liverpool genuine belief. But Zenit managed to ride the storm, and Hulk went close a couple of times to grabbing a second away goal. Substitute Jonjo Shelvey had one chance to complete the turnaround, but lashed a shot into the side-netting from 15 yards.
At times, Spalletti's facial expression was pitched somewhere between philosophical and powerless, but the final quarter-of-an-hour was seen through just about as comfortably as it could have been, given what had come before.
"The result was not decided until the very last minute, so I was worried," Spalletti said. "But every time I started to worry, my players calmed me down because they were making the right moves all the time, so it was OK."
Zenit did enough to secure their place in the Europa League's last 16. The Anfield roar, in the end, wasn't quite enough. But it was a close-run thing.
MAN OF THE MATCH: Luis Suarez. Liverpool's number seven has proved time and again his ability to drag his team-mates up by their bootlaces. When they might have felt sorry for themselves at going three goals down on aggregate, he gave them hope. His first free-kick benefited from an unconvincing wall. His second was a little piece of genius.
LIVERPOOL VERDICT: Nervy and jittery for the first 20 minutes, Rodgers' side found their rhythm for the next 40, and looked a good bet to complete a remarkable turnaround. But the manager's decision to bring on Oussama Assaidi and Jonjo Shelvey on the hour mark affected their momentum, and their challenge slowly fizzled out.
ZENIT VERDICT: For a while, Luciano Spalletti's side were in trouble. The manager had to reshuffle his defence after the loss of Nicolas Lombaerts, but Tomas Hubocan didn't shirk responsibility after moving into the centre from left-back, despite one or two hairy moments. Axel Witsel looked very useful in midfield, and Hulk demonstrated just how dangerous he can be when he can escape the shackles of his opponents.