The 26-year-old double Olympic champion made another early mistake in the women's slalom just two days after her shock exit from the giant slalom.
Unable to believe it, she sat on the side of the piste next to the netting with her skis off and head down.
She said she felt "pretty awful".
Shiffrin added: "But it won't feel awful forever. I just feel pretty low right now."
The American's rivals capitalised on her misfortune, with world number one Petra Vlhova of Slovakia putting in a superb second run to climb from eighth after the first run to claim the gold.
Austrian world champion Katharina Liensberger took silver and Swiss Wendy Holdener got the bronze.
Britain's Charlie Guest, who had been 15th after the first run, finished 21st after a small error near the end of her second run cost her time.
Fellow Scot Alex Tilley failed to finish the first run after she missed a gate before the last section of the course.
Shiffrin had come to Beijing planning to race in all five individual alpine events, but her best chances of gold were expected to be in these two events that she has failed to finish.
"My plan was always to go full gas but I gave myself no space to make an error. I wanted it to feel really good and it did at the start gate but then that's just the way racing goes I suppose," Shiffrin told BBC Sport.
The four-time world slalom champion did not rush out of the venue, spending a long time working her way past the cameras and microphones of the world's media and thoughtfully answering the many questions.
"It's hard to accept. I need to refocus now. While this race is over for me, it's not for my team-mates and I'm really excited about that," said Shiffrin, who won gold in the slalom as a teenager at Sochi 2014.
The sight of Shiffrin slumped at the side of a course where she had been tipped to dominate drew sympathy from beyond her sport, with four-time Olympic champion gymnast Simone Biles among the first to tweet her support.
Biles' own Tokyo 2020 experience did not go according to pre-Games public expectation when she withdrew from several individual events to look after her mental health.
Germany's Lena Duerr, who came an agonising fourth in the slalom having led after the first run, wondered if the weight of expectation had played a part for Shiffrin here.
"She has won so much and knew she was the clear favourite and I think that does leave an effect, even on someone like Mikaela," she told reporters.
Shiffrin's next event is due to be Friday's super G.
Asked if she would be making any tactical changes, she replied: "I don't know, it didn't work out today and in the giant slalom.
"I don't know what has to change, I've never experienced this before, I need time to re-evaluate."
News ID : 205