The Rhinos will miss out on a trip to Wembley this year after suffering a 26-12 defeat to St Helens at the Galpharm Stadium.
The game was played in sweltering conditions with nearly 20,000 fans present, the majority of which were decked in blue and amber.
The Rhinos endured a frustrating first half as they failed to control possession and were constantly penalised for their indiscipline by referee Ashley Klein. There was further disappointment when Rob Burrow was taken from the field suffering from concussion followed shortly afterwards by Clinton Toopi with a suspected cruciate ligament injury. Burrow bravely returned in the second half after being cleared by the Rhinos medical team as the Rhinos staged a fightback.
They trailed 12-2 at half time after Saints had scored through Chris Flannery and Leon Pryce, Sinfield kicking a penalty for the Rhinos.
St Helens extended their lead after the break through Jon Wilkins to make it 18-2 and it looked like Saints had booked their third consecutive Carnegie Challenge Cup Final appearance.
However, the Rhinos hit back through Ali Lauitiiti, who powered his way over before Scott Donald finished a flowing move to score in the corner.
However, Long extended the lead with a penalty before Bryn Hargreaves finally snuffed out the Rhinos revival.
For the Rhinos now they must hope that they can respond to this set back to set up a re-match with St Helens at Old Trafford in October but that will not end the pain of defeat at the Galpharm Stadium.
Rhinos: Smith, Hall, toopi, Senior, Donald, McGuire, Burrow, Leuluai, Diskin, Peacock, Lauitiiti, Ellis, Sinfield, Subs: Scruton, Ablett, Kirke, Worrall
St Helens: Wellens, Gardner, Gidley, Talau, Meli, Pryce, Long, Hargreaves, Cunningham, Graham, Gilmour, Wilkin, Flannery, Subs: Roby, Cayless, Clough, Fa'asavalu
