Lee Radford’s side, who have won at Wembley in each of the last two seasons, were rank outsiders against opponents who have been the stellar team of 2018.
Their chances were made more difficult having seen three players yellow-carded - playing for nine minutes with just 11 men towards the end of the first half - and losing two key players to injury.
Loose forward Dean Hadley limped off with an Achilles problem in the opening seconds and then captain Danny Houghton departed in the 49th minute after a sickening head injury.
However, they refused to let slip their hold of the Cup without a heroic fight and, having clawed their way back into touching distance with Hakim Miloudi’s 70th minute try, tried everything to get over the line.
In the end, despite great efforts from the likes of Jamie Shaul, Scott Taylor and fit-again Albert Kelly, it was almost sheer exhaustion that saw them fall just short.
They will certainly rue those costly yellow cards.
They had recovered well from falling 10-0 behind inside the opening 13 minutes.
Half-back Kelly, back early from a hamstring injury, showed he was clearly fit with a lovely dummying and stepping run from 15 out to beat Jon Wilkin and Ben Barba and score.
Jake Connor improved and did so again when prop Chris Green ignored the presence of four Saints defenders to bundle his way over in the 22nd minute.
That left them 12-10 ahead but matters turned during a chaotic 60 seconds.
Houghton was sin-binned for an alleged crusher tackle on Danny Richardson although replays suggested it was only pressure from Jake Connor coming in to complete the tackle that led to the dangerous finish.
Straight from the penalty, there was an altercation after St Helens’ Louie McCarthy-Scarsbrook was tackled by Brad Fash which led to Danny Washbrook - for the second time this season - being yellow-carded for kneeing an opponent as he returned to his feet.
It meant Hull were down to 11 men for nine minutes and Saints, as you would expect, made the extra advantage pay.
Winger Regan Grace grabbed his second try of the afternoon and England centre Mark Percival also exploited the extra space to double his tally for Richardson’s third conversion to make it 22-12 before either FC player returned.
Richardson added a drop-goal just before the half-time hooter but the holders - despite that massive extra effort exerted in the first half - refused to yield and started well in the second period.
They were fortunate when Zeb Taia blew a golden opportunity, spilling over the line after Jamie Shaul had just denied Jonny Lomax.
But Taylor got them back in the contest with a typical try, the England prop somehow twisting through and over McCarthy-Scarsbrook, James Roby and Barba to get the ball down between the sticks on 53 minutes, Connor improving.
Trailing just 23-18, it seemed like the visitors were well-poised to make a` push but they almost instantly self-imploded.
Young prop Masi Matongo hit Lomax late after the ball and became the third FC player to be sin-binned.
He could have few complaints although Lomax will have; the England player had to go off injured. Richardson slotted the resulting penalty to give then a crucial seven-point advantage.
Although Hull did not concede a try while down to 12 men this time, their energy levels were further depleted especially as they were now down to just two fit interchanges after Houghton was deemed unable to return.
Still, they somehow kept coming back with winger Miloudi doing brilliantly to claim Kelly’s crossfield kick to score and, even though Connor missed the conversion attempt, set up that frantic finish.
St Helens: Barba: Makinson, Morgan, Percival, Grace; Lomax, Richardson; Amor, Roby, Thompson, Peyroux, Taia, Wilkin. Substitutes: Fages, McCarthy-Scarsbrook, Douglas, Knowles.
Hull FC: Shaul; Faraimo, Logan, Tuimavave, Miloudi; Kelly, Connor; Green, Houghton, Taylor, Minichiello, Manu, Hadley. Substitutes: Washbrook, Fash, Paea, Matongo.
Referee: Ben Thaler (Wakefield)