The Murray brothers lost a thrilling contest 7-6 (8/6), 7-6 (16/14) to the Brazilian duo at the Olympic Tennis Centre.
Wimbledon champion and Team GB flagbearer Murray had earlier comfortably won his singles first-round match against Victor Troicki of Seribia in straight sets but met with an inspired display by the hosts’ pairing.
However, as that disappointment was taking place on Court No 1, Murray’s hopes of defending his Olympic singles title received a boost next door on Centre Court as World No 1 Novak Djokovic lost in straight sets to Argentina’s Juan Martin Del Potro.
Djokovic, who also lost to Del Potro in the bronze medal play-off in London in 2012, had no answer to the power of the 2009 US Open champion, who sealed a 7-6 (7/4) 7-6 (7/2) victory in almost two and a half hours.
The Serbian, who also suffered a shock early exit at Wimbledon last month, left the arena in floods of tears.
The Murray brothers lost a tight first-set tiebreak against their Brazilian opponents but appeared to have recovered when they took an early break in the second set.
However, in front of a sparse but vocal home crowd, Sa in particular lifted his game and forced another shoot-out.
It developed into an epic battle as the British pair recovered from 6-3 down and went on to save three more match points.
Andy produced a stunning backhand volley from an acute angle to save the sixth match point but could do nothing when the seventh flew off the net cord.
The loss by the Murray brothers means the top two seeds in both doubles competitions have already been eliminated, with top seeds Nicolas Mahut and Pierre Hugues-Herbert of France having lost to Colombia’s Juan Sebastian Cabal and Robert Farah.
Sa and Bellucci face Italian duo Fabio Fognini and Andreas Seppi tonight.
In the women’s doubles, three-time champions Serena and Venus Williams suffered their first ever Olympic doubles loss to Czech pair Barbora Strycova and Lucie Safarova, while second seeds Kristina Mladenovic and Caroline Garcia of France were beaten by Japan’s Eri Hozumi and Misaki Doi.