The 96-81 defeat ends a run of 10 straight wins for the Western Conference leaders.
The league's top points scorer told reporters: "They made me see a crowd. There were a few shots that I should have it hit. I had some good looks, but they did a good job.
"We were just a step slow in everything. We didn't start up with enough energy and intensity and that falls back on me as a leader."
The Thunder host the Memphis Grizzlies tomorrow.