The goalkeeper, who played for Arsenal for many years, was substituted in the 44th minute at the Allianz Stadium with concerned teammates coming to his aid.
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Newspaper La Gazzetta dello Sport claim that after Szczesny's two brilliant first-half saves, he was seen bringing his left hand up to his chest.
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It drew a frightened look from teammates Danilo and Manuel Locatelli.
Striker Arkadiusz Milik then signalled to the touchline for support, with medics tending to a concerned Szczesny.
Despite leaving the pitch in tears and clear distress, Szczesny was able to walk off of his own accord, suggesting matters weren't too serious.
That positive sign was then followed up by a report that the Poland international passed an ECG [electrocardiogram] test to show his heart was fine, though he will be checked again on Friday.
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"Szczesny had palpitations," Goal Italia wrote.
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"A check was carried out immediately after the change at the stadium medical centre (ECG): everything OK."
Juventus then took to Twitter to issue an update on his health. "After a first check, everything is OK for Tek."
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And Sporting also were quick to comment on the ex-Roma man in what was a touch of class.
They simply posted: "Forca Szczesny."
Following the match, Szczesny revealed he is all fine after his medical test.
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He remarked: "We did medical check, it's all good."
Explaining the tears, he added: "I was worried, I was not able to breathe but now I feel good. The tests confirmed that there's no problem."
The keeper joined Juve in 2017 and has been the club's first choice goalkeeper for most of that time.
Szczesny's scare didn't trouble the Old Lady in the end, as they beat Sporting 1-0 ahead of next week's return leg in Portugal.