Price found himself 7-3 down in the final but threatened a sensational comeback after winning three straight legs to make it 7-6.
Ultimately, it was newly crowned world champion Michael Smith who completed the victory to continue his winning run.
Price, who appeared to be subjected to some boos in Bahrain, said after the match: "Fair play to the crowd. They have been fantastic all weekend and supported everyone and it is nice to come away and get some cheers.
"I know there are a few English fans in there but you have been really good so thank you."
The Welshman continued: "I didn't come halfway round the world to lose. I am here to win. I missed a couple of doubles and I will kick myself over that.
"I didn't perform in the final. Michael took his chances and fair play to him for that because that is what champions do."
The attention will now turn to the Nordic Darts Masters which gets underway on January 20 in Copenhagen.
Photo Credit: Bahrain International Circuit