Whilst watching the Champions league final last night I thought I would cross reference winners with WHS and see what I can up with.
Here is a list of WHS that are within 15km approx of the home grounds of UEFA Champions League winners: (Sites in brackets may be a little to far away for inclusion)
Benfica – Belem (Sintra might just be to far away)
AC & Inter Milan – Santa Maria delle Grazie
Ajax – (Defensive lines of Amsterdam)
Feyenoord – (Kinderdijk I think this is too far away from de Kuip)
Liverpool - Liverpool
Juventus - The Residences of the Royal House of Savoy
Porto - Porto
Barcelona – Palau de la Musica Catalana & Works of Gaudi
Borussia Dortmund –(Zollverein I think this is just too far away and it is actually in Essen)
On a similar Sporting bent here are WHS in cities that have hosted the Summer Olympics:
Athens - Acropolis
Paris – Paris, Pilgrimage routes to Santiago de Compestella in France
St. Louis – Cahokia Mounds National Park (technically is part of East St Louis which is in a separate state but essentially is the same city)
London – Tower of London, Westminster, Greenwich, Kew Gardens
Stockholm – Skogskyrkogarden, (Drottningholm, Birkaboth could be seen as part of the municipal area but are not technically in Stockholm)
Berlin – Museuminsel, Palaces of Potsdam and Berlin
Antwerp – Plantain Moretus Museum, Belfries of Belgium and France
Amsterdam – (Defensive lines of Amsterdam, none of the sites are actually in Amsterdam but in the surrounding area but Amsterdam is a pretty important part of the inscription)
Helsinki – Fortress of Suomenlinna
Melbourne – Carlton Gardens
Rome – Rome, Vatican
Mexico City – Historic Centre of Mexico City, Casa Barraggan, UNAM (Bonus point for being next to Olympic Stadium)
Moscow – Kremlin, Novodevichy Convent, Church of the Ascension
Seoul - Hwaseong Fortress, Changedeokgung Palace (must admit Korea is a weak spot for me not sure which are in Seoul and which are not)
Barcelona – Palau de la Musica, Works of Gaudi
Sydney – Sydney Opera House
Beijing Imperial Palaces, Temple of Heaven, Summer Palace, (Peking Man site is it too far out to count?)
Honourable mentions –
Olympia - Olympia (site of the original Olympics and still site where the torch is lit)
Ironbridge Gorge - the annual games held in the town of Much Wenlock (part of the gorge) in from 1850 were the inspiration for Baron Pierre de Coubertain (who visited in 1890) to restart the Modern Olympics. | 
