The 37-year-old, who had won two scintillating matches at Roland Garros with Team GB partner Dan Evans, could find no answer this time to USA duo Taylor Fritz and Tommy Paul.
Fans had tears streaming down their faces after the duo lost 6-2 6-4 as Sir Andy waved to all four corners of Court SuzanneLenglen at Roland Garros.
They chanted "Andy! Andy!" as the double Olympic and Wimbledon singles champion walked into the centre of the arena one last time to take applause before heading for retirement.
Prime Minister Sir Keir Starmer said on X: "1 Davis Cup, 2 Olympic golds and 3 Grand Slams. But more than that, thanks @andymurray for two decades of phenomenal entertainment sportsmanship and A true British great."
Wimbledon paid tribute to the star and in a post said: "For the memories and the victories. The brilliance and resilience. The motivation and inspiration. Thank you for everything, Andy."
Fans last night described him as "the best British tennis player we have ever seen".
BBC sports broadcaster Clare Balding had to fight back tears as she presented post-match coverage on BBC1, saying "All we can say is thank you", before turning to Rebecca Adlington and Mark Foster at the Olympic pool, her voice breaking, as she added: "Say something..."
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