Clijsters was pole-axed by a stunning fightback from an injured Venus, who won their semi-final 4-6, 6-3, 6-1 to dash the Belgian's hopes of a first Grand Slam title.
French Open champion Henin bore her more emphatic 6-3, 6-2 defeat by Serena with equal grace as she lost at Wimbledon to a Williams for the third year in a row -- Venus beat her in the 2001 final and in last year's semis.
Clijsters's defeat by Venus cost her the chance of overhauling Serena as world number one in the rankings but the chirpy 20-year-old said she had enjoyed the experience.
"I felt I played a great match out there," she said. "The rallies were unbelievable and just being part of it was great.
"We had some amazing backhand rallies out there."
Venus aggravated a stomach muscle injury early in the first set, which she lost, but a rain break allowed the American to receive some treatment and she emerged from locker-room a different player.
"I could see she wasn't
"She was very powerful, dictating. She was doing what she wanted. But I had my chances, it could have been a lot closer."
REALLY AGGRESSIVE
Henin was simply blown away by the power of Serena, in contrast to their ill-tempered French Open semi-final in Paris a month ago, which the Belgian won before beating Clijsters in the final.
"She was really aggressive in the points," Henin admitted. "She was just too good today. I didn't play my best tennis. I was a little nervous at the beginning of the match and she just deserved it.
"Playing Serena here is harder than playing her on a clay court because when she's serving like that it's very hard to break.
"She wanted so much to win this match and she will try to do her best to win the tournament. She just proved she is number one in the world."
Or as Clijsters put it: "Against a lot of other players, except maybe Serena, my shots would have been winners."