The San Antonio Spurs took a 117-89 win, which leaves the Thunder 3-2 down ahead of game six later this week.
The league's MVP told reporters: "Our shots weren't falling for us. We've got to stay aggressive and we've got to get stops. When we can't make a shot, we've got to play defense, and we didn't tonight."
Durant was the team's leading scoring during the defeat, adding 25 points.