The Graham Arnold era at Sydney FC is over, and the man himself is equal parts devastated, proud, and utterly exhausted after holding it all together in his final two months.

Back-to-back A-League titles proved a step too far for his record-breaking Sky Blues, who fell 3-2 to Melbourne Victory in extra time at the Sydney Football Stadium on Saturday night.

Sorry, this video has expired Victory beat the Sky Blues 3-2 in thriller

The Big Blue was possibly the worst way to go out, a loser to adversary Kevin Muscat for the first time in eight contests amid a rollercoaster of emotion and hostility that ebbed and flowed for 120 minutes.

But after years of interstate verbal barbs that crescendoed this past week, Arnold was humble in defeat and quick to concede Sydney were below their best.

"They're devastated," Arnold said.

"Sometimes you wish for fairytales. You wish you can go out with that trophy and that's your last thing.

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"The crazy thing is is that the last 10 days we've struggled to score goals here ... tonight we didn't really create.

"Adrian (Mierzejewski) had a couple of good chances and (David) Carney when he came on but Bobo didn't really have any good chances tonight.

"You've got to give full credit to Melbourne. They came with great energy."

Despite the heartbreaking near-miss, Arnold was convinced his Sky Blues, who claimed two successive Premiers Plates, remained unmatched in the competition's history.

"To dominate the competition the way we have the last two seasons, I still believe even with this result we're the greatest team the A-League has seen," he said.

"Stats have shown it. We've created history by breaking so many records. It's been an honour and a privilege to coach these players."

Arnold's contract expires after the grand final but he will return this week to meet with the players and determine what assistance the club needs in handing over to his successor.

After that he will go on holidays, then head to Russia to watch Bert van Marwijk's Socceroos at the World Cup before finally starting his national team appointment, which was announced nearly two months ago.

"It's been a strange feeling for me for the last two and a half months of having to continue," he said.

"It wasn't an easy time to be announced as the national team coach but still stay to work.

"I put in more hours than I normally would. It's sad.

"I've had four wonderful years here and two grand finals along with a semi-final now ... I will be back at Sydney FC one day."

AAP