David Beckham was left to rue another penalty shoot-out loss as the Los Angeles Galaxy lost the MLS Cup final to Real Salt Lake at Qwest Field.

With the game deadlocked at 1-1 after extra time, Beckham converted the first spot-kick but a miss from striker Edson Buddle left Salt Lake defender Robbie Russell to secure a 5-4 victory and give the club a first title in only their fifth season as an MLS team.

"It's always tough losing, whether you lose on penalties or in normal play, but we can be proud of where we've come to," Beckham said.

Beckham has been part of three England teams knocked out of major tournaments on penalties; by Argentina in the 1998 World Cup when he had earlier been sent off and by Portugal in Euro 2004 and the 2006 World Cup.

"I wouldn't say it's tougher to lose on penalties but it's Russian roulette, it's not a nice way to lose but that's the way it is," he added.

"The people that step up are brave enough to step up and if you score, great, and if you miss it's hard to take.

"Josh (Saunders) did great to make those saves, he's a great goalkeeper, it just wasn't our night."

Salt Lake, who lost more games than they won in the regular season before reaching the play-offs as a wild card, made the brighter start to the final on the artificial FieldTurf surface as Beckham shook off an ankle injury with three pain-killing injections to start the game.

"I had three injections in my ankle and it wore off after about 15 minutes," he said.

"I knew it would be like that going into the game and of course it got worse and worse during the game, but that's what happens when you've got an injury like that."