The tennis legend faced a 6-2 6-4 defeat against Belinda Bencic in Toronto in what was her first defeat since deciding to end her career.
"It was a lot of emotions obviously," Williams told the crowd on Wednesday during her post-match interview.
"I love playing here, I've always loved playing here. I wish I could have played better but Belinda played so well today. It's been an interesting 24 hours.
"As I said in the article, I'm terrible at goodbyes. But, goodbye Toronto."
The 23-time grand-slam champion revealed in the recent edition of Vogue that she was "evolving away from tennis, toward other things that are important to me".
"Anyways, this is what it is," she told the crowd in Toronto as she wiped away a tear.
"I was really happy to be out here today and play in front of you guys, thanks for the support," she said, gesturing toward the fans behind her, who roared back.
"Thank you," she said with a grin as the presentation ended with a gift to her from the Toronto Maple Leafs NHL and the Toronto Raptors NBA franchises.
Williams has agreed to play at the Western and Southern Open in Cincinnati next week, as well as the US Open later this month.
It would appear that Flushing Meadows will be the final stage for Williams before officially hanging up her racket.