Real Madrid (SPAIN), Internazionale Milan (ITALY) & AS Roma (ITALY) has played a UEFA Champions' League final (European Cup final from 1956 to 1992) at their own venue.
1956-1957 - Real Madrid CF 2-0 AC Fiorentina (Madrid, SPAIN)
1964-1965 - Internazionale Milan 1-0 SL Benfica (Milan, ITALY)
1983-1984 - Liverpool 1-1 AS Roma (Liverpool won 4-2 on penalties) (Rome, ITALY)
the UEFA Cup final was played as the home & away matches since its inception in 1972. the format was later revised to a single match played at a neutral venue since 1997 until present. Feyenoord Rotterdam (NETHERLANDS) & Sporting CP Lisbon (PORTUGAL) are the only teams to have played a UEFA Cup final at their own venue:
2001-2002 - Feyenoord Rotterdam 3-2 Borussia Dortmund (Rotterdam, NETHERLANDS)
2004-2005 - PFC CSKA Moskva 3-1 Sporting CP Lisbon (Lisbon, PORTUGAL)