Amakhosi won the second leg of their tie 1-0 to level the score on aggregate, but were poor in the shootout as Lebohang Maboe and Ethan Chislett struck the crossbar and Reeve Frosler had his effort saved.
It is a dismal failure for Chiefs, who would have hoped to improve on last season’s group stage exit, but go out before that round as once again they were poor in front of goal.
After a stale first half that provided little in the way of entertainment, Chiefs found the leveller in the tie when Mfundo Vilakazi’s excellent free-kick into the box was met with a powerful header by Bradley Cross.
It was his first goal for the club and just the second of his career after also netting for Maritzburg United in 2023.
Mdu Shabalala then had two excellent chances to add to their advantage after that but wasted both, the second a one-on-one with the keeper that was saved.
Asanele Velebayi blazed over when well placed as Chiefs continued to be wasteful in front of goal.
Red Arrows visibly tired as the second half wore on, but the home side could not take advantage.
Chiefs have now won only one of their nine CAF competition ties when losing the first leg, which did come last year when they lost the first leg to Kabuscorp from Angola 1-0 but claimed the second by the same scoreline and advanced on penalties.
They could not repeat that feat this time round.