The world number one won last year's event in Rome, but he was second best throughout the contest as he went down 6-2 6-4 to the home favourite.
Murray has now won just five of his last 10 matches, and he has acknowledged that he must find a way of turning around his fortunes ahead of an important period of the season.
The 30-year-old is quoted by BBC Sport as saying: "I'm just not playing good tennis and need to try to work out how to turn it around. I believe I will."
"The last couple of weeks have definitely been a struggle and a long way from where I'd like to be. There is no reason for it from my end.
"Movement the last two weeks has not been good. My movement has been a big help, the last couple of years, but certainly the last couple of weeks, that's been a problem."
Murray is scheduled to return to action at the French Open, which begins at Roland Garros later this month.