After a frantic first half, that Walsall had the better chances in, they eventually opened the scoring in the 53rd minute through Wes McDonald, who calmly curled an effort home from the edge of the box.
Despite seeing the better of the ball, the Saddlers were pegged back in the 69th minute when Dynel Simeu finished from close range following a corner.
The visitors scored all five of their penalties and while Walsall scored three, Cameron Norman’s saved effort meant the Saddlers missed out on an extra point.
Darrell Clarke made six changes to the side that drew 2-2 with Harrogate Town more than a week ago, starting in a 4-2-3-1 formation.
Jack Rose started in goal, as he did in the last EFL Trophy clash against Bristol Rovers earlier this month.
Liam Kinsella was the only player to drop out of the 18 as Jack Nolan came in and was given a starting berth.
Emmanuel Osadebe was given his second start in Walsall colours, while Hayden White was left on the bench despite starting the last game in the Trophy.
Although Danny Guthrie was sent off with two yellow cards against Harrogate, he was eligible for the game and made his first Saddlers start of the season.
Andy Myers’ Chelsea side also started in a 4-2-3-1 formation.
Elijah Adebayo, who kept his place as the lone striker, started brightly for the hosts and did well to chest the ball down for Nolan and McDonald on several occasions as Walsall built up attacking phases of play.
Ballo went close for the visitors when he tricked his way to the edge of the box, with some neat build-up play with George Nunn, but his curled effort was turned around the post by Rose.
A last ditch tackle from Jon Russell saved his side when Adebayo was put through on goal.
The striker again came agonisingly close when he directed a header inches wide of the far post from a Norman cross.
The sides entered half-time drawing 0-0.
Within eight minutes of the restart, Walsall took the lead through McDonald. A neat one-two with Adebayo saw the winger with the ball on the edge of the box and he neatly tucked it home off the post.
Adebayo should have doubled the lead when he was fed through on goal but his effort was stopped superbly by Bergstrom’s right foot.
Simeu equalised for the visitors through Simeu who struck from two yards out. A Chelsea corner caused a scramble in the box and the defender tucked it home.
After a hard-fought second half, the game ended 1-1, earning both sides a point. A penalty shoot-out would decide who won the extra point.
Russell, Bryan Fiabema, Ballo, Simeu and Maatsen netted for Chelsea, while Rory Holden, Adebayo and Caolan Lavery scored for Walsall.
A saved penalty from Norman, who was first up for the hosts, condemned Walsall to penalty defeat.
Walsall: Rose, Norman, Sadler, Scarr, Nurse, Bates, Guthrie (Sinclair, 56), Nolan (Holden, 56), Osadebe (Lavery, 72), McDonald, Adebayo.
Subs not used: Roberts, White, Clarke, Gordon.
Chelsea Under-21’s: Bergstrom, Russell, McEachran, Simeu, Lawrence, Ballo, Nunn (Fiabema, 65), Maatsen, Colwill, Livramento (Rankine, 87), Peart-Harris (Vale, 67).
Subs not used: Ziger, Wakely, Lewis, Bate.