Zambia had come from a goal down in regulation time through Mwaziona Sakala who cancelled out a Melikia William goal.
The spot kicks proved the tie breaker with Tanzania scoring all their penalties while Zambia missed one to lose 5-4.
Zambia finished second in Group A with 7 points while Tanzania finished behind Finland in Group B with 6 points to set up an African meeting in the third and fourth play off.
The young Copper Queens put up an impressive run in the group stage, winning two matches and drawing one to finish second in Group A on seven points, level with Colombia but edged out on penalty shootout results.
Zambia began the tournament with a narrow draw-loss to Colombia (1-1 in regulation time, 4-5 on penalties), followed by a commanding 3-0 win over hosts Turkey.
Florence Mwila’s side rounded off the pool stage with a 3-1 victory over Thailand. Despite finishing tied with Colombia on points and goal difference, the penalty loss to the South Americans denied them a spot in the final.
