The final has been played at the rebuilt Wembley Stadium since it opened, in 2007. The rebuilding process meant that between 2001 and 2006 they were hosted at the Millennium Stadium in Cardiff in Wales. Prior to rebuilding, the final was hosted by the original Wembley Stadium since it opened in 1923 (being originally named the Empire Stadium). One exception to this 78 year series of Empire Stadium finals (including five replays) was the 1970 replay between Leeds and Chelsea, held at Old Trafford in Manchester.
Was it always held in Millennium Stadium? 
Prior to rebuilding, the final was hosted by the original Wembley Stadium