Finn Russell's nerveless last-gasp conversion handed Glasgow a dramatic 16-14 victory at Scotstoun last weekend, meaning it is the Scottish side who will line up against Munster in the showpiece event at Kingspan Stadium on Saturday.
Ulster has finished in the top four in the PRO12 in four of the past five seasons, while also reaching the knock out stages of the European Cup four times during the same five year period. But despite this remarkable consistency, the Ulstermen are yet to win the trophy in either competition.
Having joined the Province in 2010, Pienaar has played a central role in those campaigns, but he claims the latest setback is the most painful to date.
"We've lost a couple of times in play-offs like that, but as a group I think this one hurts the most of all," explained Pienaar.
"Winning trophies is the goal and that's the sad and disappointing thing about last week. We were the better team on the day but we lost it at the end there. Glasgow are a quality side who took their opportunities well.
Pineaar believes that the foundations are there to start taking the opportunities:
“We keep saying we have to learn, but there's got to be a time when we start learning and win something. I do believe that we've got a great squad at Ulster and hopefully we can win something for our great supporters.”