Sabalenka, the No.2 seed, was beaten 7-6 (7-3) 4-6 6-4 to 19-year-old unseeded Canadian Fernandez at Flushing Meadows on Friday (AEST).
The 23-year-old Sabalenka, who has won more matches than any player on the WTA Tour this year, has never reached a Major final and her wait continues after also falling in the Wimbledon semis in June.
Sabalenka squandered a set point in the opening set, before losing her final service game to love to bow out on Arthur Ashe Stadium.
"This is life. If you're not using your opportunities, someone else will use it," Belarusian star Sabalenka said after the match. "This is what happened today.
"This is what we call pressure. I had a lot of opportunities and I didn't use it. I will try to improve it. I will keep working and fighting, and I believe that one day it will come."
Sabalenka had dominated early, leading 3-0 inside 10 minutes as she barely missed a first serve, before Fernandez rallied to claim the first set.
"I wouldn't say that she did something. I would say that I destroy myself," Sabalenka said. "On the key moment, I was up 4-2 serving, and I think I made double-faults. My first-serve percentage wasn't really good."
Sabalenka identified a key lesson for her was not to "over-think" opportunities, while she was positive about her conqueror Fernandez, who she said was playing like a "top-10 player".
"Now there is no pressure on her at all. Crowd are here for her," Sabalenka said.
"But the question is when you will start to understand what's going on and where you are, how good can you deal with all these expectations and all this level, all this pressure.
"She's like a top-10 player. We'll see how good she will be in the future."
Fernandez will play 18-year-old Emma Raducanu in Sunday's (AEST) final, marking the first time two teenagers have met in a grand slam decider since Martina Hingis and Serena Williams at Flushing Meadows in 1999.