The Williamses climbed to No. 1 in doubles for the first time after winning the French Open. They were bidding for their 13th major championship.
Serena, who will play in the semifinals of singles Thursday, wore a bandage on her right shoulder. Zvonareva is in the semifinals of singles for the first time, and they could meet in the final.
The match turned when Venus double-faulted on break point in the second set, giving the Russians a 4-2 lead. Serena lost serve in the third game of the final set, and the sisters didn't manage a break in the last two sets.
The defeat was only the fifth in 60 matches for the Williamses over the past three years. They fell to 29-2 at Wimbledon.
The sisters will be fined $4,000 each for not attending a news conference after the loss, a Wimbledon spokesperson said.
Serena Williams said Thursday she is "shocked to hear" about the penalty, adding she and her sister rarely speak to the media after Grand Slam doubles matches other than finals.
The Associated Press contributed to this report.