Swindon started with the same line up that had thrashed Plymouth 4-0 away last weekend,and things looked to be going well for Swindon when Charlie Austin gave them the lead after 12 minutes.
Brentford drew level on 38 minutes after a Woods cross was headed in from close range by Robbie Simpson.
Swindon pushed for a winner in the second half, but ran out of time, and with no extra time played it went straight to a penalty shoot out.
Swindon scored two penalties before Ball and Timlin missed for Swindon. Phil Smith saved a Brentford shot to give Swindon a small chance, but Brentford scored their final penalty to give them a 4-2 win, with Swindon not needing to bother to take a 5th one.