I wasn't really surprised because this is always the case most times in football, I remember the Europa League final between Manchester United and Tottenham, if you follow through that tournament you will see that Manchester United at a point we're unbeaten, and the faced a lot of stronger opponent than Tottenham during the process, but when they got to the finals, Tottenham had to win Manchester United with a single goal, most people saw them as the underdogs in that finals and they came out surprising everybody.

Sometimes because of the hype we put on the expected club that will win, the underdogs go behind to do an extraordinary things in a bit to show the superior opponent that they too, they have something in stock to give out, so the underdogs do more of trying to unravel their greatest opponent and since the expectation is about that they cannot win is in the minds of people, they take their opponent by surprise.

If you watch through that game very well, you will notice that Chelsea were more defensive, they did not come out all in so they won't create space for PSG to dribble and maneuver through them, they always had a midfield that was defensive and attacking, and this was not the expectation PSG had in mind as they wanted Chelsea to be open in their wings enabling them to always pass the ball through,  you could notice that PSG had more possessions but their possession was not helping them to pass through the midfield and the defense of Chelsea.