The Belgians had taken the first set in the decisive doubles rubber and looked to have the momentum going into the second set.
It was the second time that they had been only one set away from getting their hands on the trophy once again - they also won the title in 2001 - after Kirsten Flipkins won the first set against Mara Santangelo earlier in the day.
But the Italians fought back immediately and were much they better team as they took the second set 6-2.
Fed Cup
Sears appointed GB Fed Cup captain
13/12/2006 AT 16:13
Henin-Hardenne had injured her knee on the way to her 6-4 7-5 win over Francesca Schaivone and came out for the doubles with it heavily strapped.
The knee did not appear to be causing her many problems but at 0-1 down in the third set and at 0-30 on her serve, Henin-Hardenne rushed into the net for a volley and was clearly in trouble.
As soon as she had hit the ball, she limped off towards the side of the court to receive medical treatment.
The Belgian decided to play on and saved the first break point after play resumed. But when the Italians clinched the break on the next point, it looked to be all over much to the disappointment of the home crowd.
After a long discussion with both her coach and the Italian coach, Henin-Hardenne walked to the net to shake the hands of Schiavone and Robert Vinci.
As Flipkens looked close to tears and a clearly disappointed Kim Clijsters - ever the professional - walked over to congratulate the winning team, the Italians began to celebrate having won their first Fed Cup trophy.
Fed Cup
Rittner extends Fed Cup contract
12/12/2006 AT 13:31
Fed Cup
Sharapova confirms Fed Cup debut
07/11/2006 AT 16:05