Each club needed to progress through four rounds to reach the final, which were contested over two legs, with a match at each team's home ground.
Watched by a crowd of 33,021, Lazio took the lead in the final when striker Christian Vieri scored in the 7th minute.
An inspection revealed there was a 10-centimetre (3.9 in) difference between one post and the other at both ends of the ground, this was due to the undulation of the pitch.
The second leg ended in a 0–0 draw, which meant Mallorca won the tie on the away goals rule to progress to the quarter-finals.
They were unable to score and Mallorca won the match 1–0 to win 2–1 on aggregate and progress to the final in their first season in European competition.
The Russian side went ahead in the first leg, at the Lokomotiv Stadium, when striker, Zaza Janashia, scored in the 61st minute.
[15] The second leg was ended in a 0–0 draw, which meant Lazio progressed to the final on the away goals rule after the tie finished 1–1 on aggregate.
Lazio had spent £73 million on new players the previous summer, while Mallorca were considered "an unfashionable island side" by The Guardian.
This did not bother Mallorca striker Dani, who was adamant they could compete with Lazio: "We are conscious of the huge difference between the squads ... but we make up for that with concentration and teamwork to get results.
[2] The first goal was scored in the seventh minute when striker Christian Vieri headed a pass from Giuseppe Favalli past Roa.
Miquel Soler passed to Jovan Stanković who crossed from the right-hand side of the pitch which was converted past Lazio goalkeeper, Luca Marchegiani, by Dani.
[23] A long-range shot from Vieri was saved by Roa, while a Mallorca free-kick taken by Jovan Stanković passed through the Lazio penalty area without anyone touching the ball.
A bicycle kick by Lazio striker Marcelo Salas, which Roa saved, was the last chance before the first half came to an end with the scores at 1–1.
[23] According to Phil Shaw, writing in The Independent, "the open play which had characterised the start of the contest was markedly absent as the second period unfolded.
"[23] Mallorca started the better of the two teams with Lauren causing problems down the right-hand side of the pitch.
[24] Dejan Stanković was caught in the face by Mallorca defender, Gustavo Siviero as he made an overhead clearance.
Siviero was shown a yellow card and Dejan Stanković was replaced by Sérgio Conceição following the incident.
[2] Lazio had the best chance of the second half in the 60th minute when a free-kick by defender Siniša Mihajlović, from 32 yards (29 m) went just wide of the Mallorca goal.
Minutes later, Roberto Mancini had a chance to score, but his shot hit the crossbar and he was deemed to be offside.
[23] Mallorca had another chance to score as Jovan Stanković made his way into the Lazio penalty area.
We've only lost one match in Europe in the last two seasons and that was last year's UEFA Cup final against Inter."
He went to say that the victory would be a consolation if his team failed to win Serie A the following weekend: "We'll try to beat Parma and see if it's enough for us to be champions of Italy, whatever happens, we've had an extremely good season.
We're undefeated in Europe, we won the Italian Super Cup and we're fighting for the league title to the end.