Maybe "close but no cigar" can be translated to "아깝게 ~하지 못하다." "아깝게 ~하다." If the team you support was close but no cigar, --> "(아주) 아깝게 졌다." --> "아깝게 이기지 못하다." is not natural --> "아깝게 지다." If you study hard but you failed a test, --> "아깝게 떨어졌다." --> "아깝게 합격하지 못했다." --> "아깝게 떨어졌다." will be more natural.