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The Power was bidding to end his Premier League career on an ultimate high by clinching the lucrative title for a seventh time but he fell just short in the semi-finals as he lost 10-9 to eventual runner-up Peter Wright.
Taylor fought back from 4-0 down following a slow start but after breaking the Snakebite throw to go 9-8 up, he then missed a match dart at double top to set up a final with Michael van Gerwen.
The 56-year-old, who will bring the curtain down on his legendary career at the start of 2018 following his final World Championship, was competing in the play-off stages of the tournament for the 13th time in its 14-year history although the last got his hands on the trophy back in 2012.
But he refused to be too downhearted, saying: "I'm fine - I had my chances and didn't take them.
"The crowd gave me so much inspiration, and it was just a couple of shots that I missed, that's all.
"I went in front and then went nervous - I could feel my heart beating - maybe because it's my last one. I don't know. But I'm shattered now. Peter was the better player, I can't fault him; he held his bottle and hit the right shot at the right time."
Reflecting on his narrow miss on double tops for victory he said: "It's not good enough. It can be so close, but it's miles away. Peter was the better player. I can't fault him, he held his bottle. He hit the right shots at the right time."
Taylor bows out after 207 matches in the Premier League dating back to 20o5 and accepts the level of competition increased significantly in recent years.
He said: "It's a different world for me now at my age. Michael van Gerwen jumps around on stage like a jumping jack and a kangeroo while Peter and Gary have both got more energy than me.
"I wish I was younger because I would have kicked van Gerwen's a**e believe me! I just haven't got it now. I've got the ability but I just don't have it in me longevity wise. I'd love to be 18 again and give him a run for his money.
"I had to deal with John Lowe, Jockey Wilson, Eric Bristow and Alan Warriner when I was younger, whereas Michael's just had me. He's got the next generation to worry about and the one after that probably. Let's see how good he is then. He's young now."
Taylor scaled down his playing schedule to focus almost purely on an assault at the Premier League since the 16-week season began back in February but there's still plenty more majors for him to target before his final farewell.
Remaining possible majors for Taylor
Click here for the full PDC calendar and results
World Matchplay - Blackpool, July 22-30
Champions League of Darts - Cardiff, September 16-17
World Grand Prix - Dublin, October 1-7
European Championship - Belgium October 26-29
World Series of Darts Finals - Glasgow, Nov 4-5
Grand Slam of Darts - Wolverhampton, Nov 11-19
PDC World Championship 2018 - Alexandra Palace
Click here for all the Premier League Darts results, reports & statistics