After wins over Wimbledon champions Jack Sock and Mike Bryan and the world's top ranked team Oliver Marach and Mate Pavic, Venus and Klaasen had high hopes going into the final, but after putting up a big fight finally succumbed.
Kontinen and Peers have been one of the most consistent doubles teams in the past few seasons, winning last year's Australian Open title and claiming 13 titles together including four Masters 1000s.
They are right in the race for a place in the elite eight team field at the ATP World Tour Finals in London at the end of the season.
While Venus served well, Klaasen struggled and was broken in his first service game to hand the early advantage to the second seeds who broke the South African again to take the first set in just 27 minutes.
Venus and Klaasen put up more of a fight in the second set and games went with serve through to a tiebreak. Kontinen and Peers should have closed it out, leading 6-3 with Venus and Klaasen eventually saving four match points to take it to a match tie break.
But the Australian and Finn made no mistake a second time with Kontinen in particular serving big to clinch the title.
"Credit to them they played better than us today. They both had big serves and served with a high percentage and we found it tough to get into their service games," Venus said.
Despite the loss Venus and Klaasen have moved up one place to 5th in the race to qualify among the top eight doubles teams for the season ending ATP World Tour finals in London. They will share US $154,710 for making the final and Venus will improve two places to 17th in the doubles rankings which come out later today.
Their form has been impressive since reaching the Wimbledon final last month they have made the semi-finals at the Washington ATP500 tour event and now a Masters 1000 final and will be confident of making a deep run at the US Open later this month.
"It shows the level we are playing right now, we had four good wins and three over top doubles teams who play week in week out together. We have got to keep working on the things we are doing and keep putting us in situations like that," Venus said.
Venus and Klaasen now head to the ATP Masters 1000 tournament in Cincinnati where
Venus is defending semi-final points from last year.
They have been drawn against French singles players Richard Gasquet and Adrian Mannarino in the first round.
Fellow Kiwi Artem Sitak teaming up with Greek singles star Stefanos Tsitsipas have been drawn against Croatian Ivan Dodig and Dutchman Robin Haase in the first round in Cincinnati.
