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I wrote one-liner based on Tobi Hahn answer.

For example, you want to know what device stands for ata3:

ata=3; ls -l /sys/block/sd* | grep $(grep $ata /sys/class/scsi_host/host*/unique_id | awk -F'/' '{print $5}')

It will produce something like this

lrwxrwxrwx 1 root root 0 Jan 15 15:30 /sys/block/sde -> ../devices/pci0000:00/0000:00:1f.5/host2/target2:0:0/2:0:0:0/block/sde