The three-time champion had not suffered a defeat at the U.S. Tennis Center since 2003, but she fell to Laura Robson 7-6 (7-4), 7-6 (7-5).
"This seems like the perfect place to retire, I just wish it wasn't today," Clijsters said. She won the event in 2005, 2009 and 2010, and her career ended with a 38-6 record in singles matches at the U.S. Open.
Having battled injuries and gone through one retirement while beginning a family, Clijsters won four major championships and had 41 career titles overall. She finished second in major events four other times.
Clijsters' exit from competitive tennis overshadowed second-round victories Wednesday by world No. 1 Victoria Azarenka, defending champion Samantha Stosur, 2006 U.S. Open champ Maria Sharapova and 2011 Wimbledon winner Petra Kvitova.
Azarenka breezed past Kirsten Flipkens 6-2, 6-2 and will meet Zheng Jie in the third round.
Stosur, who upset Serena Williams to win last year's tournament, posted a 6-3, 6-0 decision over Edina Gallovits-Hall, Sharapova crushed Lourdes Dominguez Lino 6-0, 6-1, and Kvitova was a 6-4, 6-3 winner over Alize Cornet.
Kvitova, the only woman to reach at least the quarterfinals in the three major tournaments played thus far in 2012, will meet Pauline Parmentier in the third round.
In other action 2011 French Open champion Li Na ousted Casey Dellacqua 6-4, 6-4, Marion Bartoli defeated Romina Oprandi 6-2, 1-6, 7-5, and Kristina Mladenovic surprised Anastasia Pavlyuchenkova 6-1, 6-2.