Henin won the Stuttgart title on clay last week and is considered a dangerous outsider in Paris later this month but said she had been suffering from sickness since the German event and was not at 100 percent.
"When I came back from Stuttgart, I wasn't feeling well at all," she told a news conference.
"I just tried to come and see how I felt but to practice and play a match is a different story.
"Madrid has been a difficult experience this year and I hope that next year will be better." Her first serve was inconsistent and Rezai, the world No. 22, took full advantage with a 4-6, 7-5, 6-0 win as the Belgian's game collapsed in the deciding set.
Henin beat Australia's Samantha Stosur in the final in Stuttgart last Sunday for her first title since she ended her 19-month self-imposed exile at the start of the year.
Henin said she had been suffering infections in her nose and throat and had lacked energy on the court.
"She was at a very good level and I was probably below my capacity and it wasn't an easy day," she said.
"I hope I will get better in a few days and get ready for the French Open now." Maria Sharapova was another former world No.1 to fall at the first hurdle on the clay in Madrid, the Russian 11th seed going down 6-4, 6-3 to Lucie Safarova of the Czech Republic.
"It's a struggle trying to find the rhythm," a philosophical Sharapova, who was playing her first tournament since pulling out of the Sony Ericsson Open in March with an elbow injury, told a news conference.
Safarova broke Sharapova's serve four times and the Czech is on course for a possible last-16 clash with sixth-seeded Russian Elena Dementieva.
"If you win against these top players, as I have the last couple of months, then you get your confidence and you realize you can be up there," the world No. 35, who beat number two Caroline Wozniacki in Stuttgart, told a news conference.
"My dream is to be top 10 and it's a lot about believing in yourself." Fourth seed Venus Williams, also a former No. 1, plays qualifier Stefanie Voegele in the first round later on Sunday.
