They set up a trip to Forest Green Rovers next Wednesday with a quite brilliant recovery, saving the game from 3-1 down to win 4-3 extra time.
Devante Rodney put the home team ahead early on, taking the lead from Oldham last night after their three goals in the first 12 minutes.
Rodney turned the Southend defenders inside out before firing into the corner of the net.
But the Shrimpers hit back as Nathan Ralph’s cushioned header found the top right hand corner.
Rochdale turned up the heat and another header, this time from Jay Bird, made it 2-1.
The hosts were awarded a penalty in the early stages of the second-half and Rodney didn’t pass up the chance to double his tally.
But that wasn’t the end of the story - Southend found a second wind.
They made it 3-2 when Tom Hopper headed in. The Essex club levelled soon after - Leon Parillon tapped in.
Then, 11 minutes into extra time, Charley Kendall stepped off the bench to head Southend into the semi-finals.