The Italian goalkeeper guessed right as Phillips placed his spot-kick and earned Chelsea a share of the points.
England World Cup hopeful Phillips suffered a frustrating afternoon, watching several efforts drift narrowly wide and finding Cudicini in inspirational form when he did finally hit the target.
Chelsea did threaten on the break, with the pace of Eidur Gudjohnsen and Jimmy Floyd Hasselbaink a constant problem for The Black Cats.
Gudjohnsen dallied when put through one-on-one and allowed Darren Williams to recover and block his effort.
Phillips saw a drive fly past a Chelsea post, and Gudjohnsen had two bites of the cherry when an effort was blocked but miscued his second shot when he should have done better.
The second half was only a minute old when Celestine Babayaro hauled down Gavin McCann, but Phillips could not convert from the resultant penalty.
Still cursing his miss, Phillips then had two headed efforts that he would normally have converted, but after tamely heading into Cudicini's arms with the first, then saw a second chance a minute later fly agonisingly wide.
Sunderland rode their luck at the other end when Dejan Stankovic converted from close range only to have his goal chalked off for a seemingly innocuous challenge from Mario Melchiot on Thomas Sorensen.
