The 46-year-old former world number one went down 6-2, 6-3 to fellow American Mary Stoiana in the opening round.
Williams, now ranked 597, let out a yell and stumbled when chasing a return in the first set, just about managing to stay on her feet but going down 5-2.
Stoiana, who is ranked 113, faced a crowd heavily in her opponent's favour but refused to relent in the second set to condemn Williams to another early exit.
Williams, a seven-time Grand Slam singles champion, last won a singles match on the WTA Tour in July 2025.
She lost in straight sets at the Guangzhou Open to Austrian teenager Lilli Tagger last week.
Before that, Williams last played at the US Open in August-September, when she lost in the first round to Sofia Kenin, again without winning a set.
Williams reached the semi-finals of the Guangzhou doubles with Indonesia's Janice Tjen.
She is also in doubles action in Hong Kong.
The 23-year-old Stoiana faces top seed Sorana Cirstea of Romania or Russian-born Uzbek Maria Timofeeva in the last 16.