Coming back from a knee injury, Sania showed glimpses of fightback against Pironkova but that did not prove to be enough as the world No. 105 Indian went down 4-6, 2-6.
In absence of Somdev Devvarman, who has been forced out of the tournament with an injury, Sania was country's only hope in the singles event of the championship.
The Indian put up a brave show in the first set but made 20 unforced errors as compared to 14 by her Bulgarian opponent and that cost her set.
Sania started the second set on a positive note. After keeping her first serve easily, she fought her way from 0-40 down to deuce on Pironkova's serve in the third game of the set. But the Hyderabadi failed to earn a much needed break.
However, she backed it with a fine service game to make it two-all in the second set.
The 25-year-old had great chance to go ahead in the next game as she pounced on loose second serve from Pironkova to gain a break point, but Sania squandered the advantage.
She once again conceded two break points in the sixth game to help Pironkova tighten her grip over the match with the score reading 4-2 in favour of the 47th ranked Bulgarian.
Sania tried to make a comeback in the next game holding her opponent to a deuce but Pironkova won the seventh game of the set to make it 5-2.
From there on it was a tough task for Sania to make her way into the match and Pironkova relied on her powerful service game to shut the door on the Indian.
Sania has only twice managed to reach the second round of a Major in the last two seasons, while Pironkova had reached Wimbledon semifinals in 2010 and quarterfinals last year although she struggled at other Grand Slams in the same period.