Former Wales and Blackburn star Savage and former England and Newcastle star Shearer were attempting to sit on all 90,000 seats in the venue - each one taking one half of the stadium.
It took them five days with Shearer reaching his final one in the royal box 13 minutes ahead of his rival.
Their battle of the backsides challenge raised over £200,000 for Sport Relief.
On Thursday, Savage broke the world record for sitting on the most seats in a minute.
But the players-turned-pundits started day four of the challenge neck and neck, with each of them sitting on just under 30,000 seats.
Savage said: "I'm absolutely exhausted, but congratulations to Alan - the better man won. We've both been through pain - 45,000 seats - but he's kept me going.
"I couldn't have thought of anyone better to do this challenge with. If you'd have said to us on Tuesday morning when we were walking on the stairs and our legs were giving way that we'd finish we'd never have believed you, but hopefully we can raise some more money and it'll all be worth it."
Both men celebrated finishing their mammoth task by sitting in a bath of ice.
The money raised will be used by Sport Relief to help vulnerable people in the UK and abroad.