Gauff’s double fault problem came back to haunt her against Sabalenka, with the latter winning 6-3, 7-6(7-3).
Runner-up Gauff was praised by fans after she lost the final, with Sabalenka winning her third WTA title of the season.
The world number one now turns her focus to the Italian Open in Rome, where the Belarusian is the top seed.
Sabalenka has been handed a bye in round one of the WTA 1000 event, which helps continue the clay-court season.
Why Aryna Sabalenka wanted to quit after five minutes of practice with Andrey Rublev
She has, however, also been able to focus some of her efforts on the ATP Tour, having shared insight into a practice session with Andrey Rublev.
Asked ahead of the Madrid Open if she has ever played someone who hits the ball harder than her, she said: “I don’t know. I mean, maybe when I was practicing with the guys.
“I practice with Rublev, that was really intense. I was like, Okay, whatever, I’m done. I was done in five minutes, so, yeah.