The London Olympics bronze-medallist waged a grim battle against World No. 2 Xuerui and took the match to the decider but eventually ran out of steam.
Saina lost 20-22 21-7 13-21 to the Chinese shuttler in 50 minutes at the China Resources Shenzhen Bay Sports Centre.
Saina, who has won Swiss Open, Thailand Open Grand Prix Gold, Indonesia Open Super Series Premier and Denmark Open Super Series Premier this year, was eyeing her first WSS Finals title having lost in the title round last year and in the semi-finals in 2009.
The World No 3 Saina made a resounding start reeling off six straight points in the opening game. But the Chinese girl clawed her way back to make it 9-9 with Saina being guilty of being a shade slow in her returns.
The Hyderabadi girl, however, relied on her fine baseline game to be 16-13 ahead but Xuerui again caught her up at 16-16.
Saina made fine use of her trademark crosscourt smashes and drop shots to which Xuerui had no response and took herself on the verge of winning the first game just when the Chinese shuttler made a spirited comeback and won some crucial points to grab the first game at 22-20.
Saina had four game points but she failed to convert her chances and Xuerui reeled off six straight points to put the Indian on the back foot.
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