Two first half goals from Stephan El Shaarawy and another by Perotti were enough to sink Chelsea.
Roma thrash Chelsea in Rome
The Italian giants have defeated the English champions 3-0 on Tuesday.
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The Blues would have progressed with a victory, but trailed within 39 seconds when Edin Dzeko flicked Aleksandar Kolarov's cross down to Stephan El Shaarawy, who smashed home from 25 yards.
Alvaro Morata missed a huge chance to equalise from close range, and El Shaarawy made it 2-0 when ex-Roma defender Antonio Rudiger failed to deal with Radja Nainggolan's long ball forward.
Chelsea had more shots - 14 to 13 - but were three behind when Diego Perotti cracked home from 20 yards after Blues defenders failed to close him down.
Roma should have led 4-0 when Chelsea's defenders all ran to Dzeko, who managed to square to a totally unmarked Perotti, but he fired over when he should have finished.
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