Chinese star Li, the 2011 French Open champion, slumped to a 6-0, 6-3 loss to the defending champion, her ninth defeat in 10 meetings with the world number one.
Li has not taken a set off the American in the pair's last seven meetings while her only victory came back in 2008 in Stuttgart.
As a result, the world number six admitted her depressing record against the 17-time Grand Slam title winner might have preyed on her mind at Arthur Ashe Stadium as Williams booked a Sunday final clash against Victoria Azarenka.
"I should not be nervous like this because it's not the first time I have played in the semi-finals," said the 31-year-old.
"But when I walked on the court I felt the court was so big. I felt like it was a football stadium. For Serena it was like a table tennis court. I could not focus. I think I have to find out."
Li was playing in her first US Open semi-final but has contested 30 Grand Slam tournaments in her career and has reached the quarter-finals or better at all four majors.
She has also played in three Grand Slam finals -- her 2011 success at Roland Garros sandwiched between defeats at the Australian Open in 2011 and 2013.
So, on experience alone, Friday's occasion should not have been unusual.
However, in her three previous finals at the majors, she was not playing the home favorite.
"Today it didn't matter who is the opponent," she insisted. "The problem is myself because today I cannot face to the problem. Even if I was playing the 100th-ranked player it would still be the same problem.
"I really have to face this thing for the next step. It's not about the technique. It's about the problem about myself."
Despite losing to Williams, Li still had time to sign off her US Open campaign with a joke.
When asked if she had any advice for Williams on her personal life after the American was romantically linked with her coach, Patrick Mouratoglou, she urged caution.
"Don't be married, OK?" said Li, whose husband, Jiang Shang, works as her hitting partner after he ceded coaching duties to Carlos Rodriguez, the previous mentor.
"Marriage is different, totally different."