The Dow made it all the way to 10,085.31 in early trading, and actually spent more than half the session trading above five digits. But weakness in technology stocks wiped out the Dow's gains, and it ended the day at 9,903.55, down 94.07.
Other U.S. stock market indexes also closed lower.
Prices were also affected by the quarterly expiration of contracts on stock options, index options, and index futures, an event that typically exacerbates market volatility.
The Dow teased investors Thursday with a late bid at history, bobbing above 10,000 six separate times in the final 10 minutes of trading, only to creep back below and finish just 2.68 points beneath the vaunted milestone.
Lost in the disappointment was another new high for the Dow, which rose 118.12 points for the day to close at a record 9,997.62. The Standard & Poor's 500 also closed at a record high.
The Dow crossed 10,000 for the first time ever on Tuesday morning, but pulled back after about a minute and closed with a loss. Thursday's high was 10,001.51, a shade below Tuesday's high of 10,001.78.
Thursday's last-minute flirtation with 10,000 sparked some confusion at the closing bell on the New York Stock Exchange, where NYSE Chairman Richard A. Grasso and Dow Jones & Co. chief executive Peter Kann began celebrating too soon flinging baseball caps emblazoned with the words ``Dow 10,000.''
The Dow is now up 800 points, or nearly 9 percent, in 1999 well on the way to what would be an unprecedented fifth straight year with a gain of at least 10 percent.
While just a number, 10,000 would mark a crowning achievement for a resilient bull market that began more than eight years ago, on Oct. 11, 1990.
The Dow has more than quadrupled since that time, driven by an extraordinary combination of positive factors, especially tame inflation, low interest rates, and a confident mood that has consumers buying everything from stocks to socks.
The main spark for Thursday's advance was a report that consumer prices rose a tiny 0.1 percent last month further confirmation that inflation remains in check and that the Federal Reserve is unlikely to raise interest rates to slow the economy.
A growing perception that the world's economic trouble spots are recovering has provided some extra fuel in recent weeks.
Notably, investors were unfazed Thursday by a separate report from the Commerce Department showing that the nation's trade deficit shot up 21 percent in January.