While Serena progressed to the singles semi-finals on Tuesday, five-time Wimbledon champion Venus was knocked out by the unseeded Bulgarian Tsvetana Pironkova.
Winning the doubles title would have given Venus at least something to remember this year's Wimbledon by.
However, the top seeds were beaten 3-6, 6-3, 6-4 by Russian pair Elena Vesnina and Vera Zvonareva in just under two hours on Court Two.
They won it when Venus hit a return into the net.
It was the first defeat the Williams sisters have suffered this year, having won the Australian Open, Madrid and French Open titles.
Venus Williams would have played Zvonareva in the singles semi-finals had she not been knocked out by Pironkova.
"We were just trying to hang in there and fight for every point. It is very difficult to beat them. They are a great team," Zvonareva said.
Vesina added: "When you're playing against the Williams sisters it's always a challenge. You always want to do your best and show your best tennis."
The Williams sisters have won four Wimbledon women's doubles titles: 2000, 2002, 2008 and 2009.