The 11th-ranked Li lost 6-4, 6-2 to 2006 champion Anna Chakvetadze, while Pennetta fell to another Russian, Elena Vesnina, 6-4, 2-6, 6-2.
Chakvetadze broke twice in the first set for a 5-2 lead.
Li, who managed to put in only 30 percent of her first serves in the first set, narrowed the gap to 5-4 but Chakvetadze saved four break points in the next game before clinching the set. Chakvetadze dominated the second set, breaking Li twice.
“I wasn't favorite for the match,” Chakvetadze said. “I played free and easily. I'm happy I've made it.” Li said she “wasn't feeling so good on the court” and really didn't know what happened.
“I can't come up with an explanation, unfortunately I just lost today,” she said.
Li entered the event on a wild card, hoping to strengthen her position as a top substitute for next week's WTA Tour Championships in Doha. Now, the loss could hamper her chances for a maiden appearance at the event.
“I think Doha was playing on my mind, so I was nervous,” said Li. “I'm feeling pretty disappointed right now. I just have to wait and see what happens, it's not in my hands anymore.” Li was just five points ahead of Victoria Azarenka of Belarus, who was seeded second at the Kremlin Cup and had a first-round bye. Whoever of the two fares better in Moscow may be required to replace Serena Williams in Doha.
Two-time winner Williams was doubtful for her seventh appearance at the championships after aggravating her injured foot. The American was planning a comeback in Linz, Austria, last week, but withdrew and announced that she might be out for the rest of the season. She was yet to confirm that.
Azarenka, who qualified for the championships last season, will play Andrea Petkovic of Germany in the second round.
Petkovic rallied to beat Olga Govortsova of Belarus 0-6, 7-5, 6-0 on Tuesday.
The 23rd-ranked Pennetta struggled on her serve in the third set. She saved three break points in the second game and two more in the fourth before Vesnina eventually broke for 3-1. Vesnina earned two match points with a precise crosscourt forehand and converted the second when Pennetta failed to return her crosscourt shot.
Three-time champion Nikolay Davydenko tops the men's draw of the 21st edition of the event. Jelena Jankovic, who won in 2008, is the top-seeded woman.
