Complex sentence: They also reached the Football League Cup final that season, also losing 2--1 to Arsenal (though without a replay), and have not appeared in a domestic cup final since, though they have appeared in the Football League Cup semi-finals twice since then.
Split into simpler sentences: They also reached the League Cup final that season, also losing 2--1 to Arsenal (though without a replay). They have not appeared in a domestic cup final since, reaching two League Cup semi-finals since then.