The eighth-ranked American, who also lost in the first round of a tournament in March in Memphis, Tenn., dropped to 1-3 against Pennetta.
"I totally came here because I love winning," Williams said. "I have never won this title, but I just had a day where I could not control my game. She played well."
Pennetta and Williams traded breaks in the first set. The Italian broke decisively on her third chance in the ninth game with a lob.
Williams broke twice in the second set, but dropped serve in the first game of the third set and never recovered.
"Venus is always a tough opponent," said the 18th-ranked Pennetta. "I was playing my best tennis. My service was working very well. I am very happy with the match."
On the men's side, defending champion Nikolay Davydenko advanced by beating Florent Serra of France 6-1, 7-5, and Uzbek qualifier Denis Istomin upset sixth-seeded Michael Llodra 7-6 (2), 6-3 in only his second ATP Tour match.
The 121st-ranked Istomin broke decisively in the sixth game of the second set and will face French veteran Fabrice Santoro in the second round.
Robby Ginepri of the United States defeated Jiri Vanek of the Czech Republic 6-3, 6-4.
"It's great to get off to a good start here this week," Ginepri said. "I haven't played since the U.S. Open, so I wasn't really sure where my game was going to be, but I'm happy with the way I played."
The sixth-ranked Davydenko had little trouble against the 53rd-ranked Serra in the opening set, but he needed a break in the 11th game to advance to the second round.
Davydenko is looking for his third straight title in Moscow.
"I would like to defend my title here, but as usual I'm my worst enemy," Davydenko said.
Eighth-seeded Janko Tipsarevic of Serbia rallied to beat Russian qualifier Alexandre Kudryavtsev 4-6, 6-3, 7-6 (6).
In the women's draw, Svetlana Kuznetsova beat Li Na of China 6-4, 7-5.
The fifth-seeded Kuznetsova broke early in each set. She led 4-1 in the second set and had two match points serving at 5-3 before Li evened it at 5-5.
However, the Russian broke next game and then served out the match on her fourth match point.getCSS("3053751")
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