Rose failed to sink his birdie effort from 12 feet at the par-five 18th as Donaldson claimed a one-stroke victory at the European Tour event in the desert.
"I hit a good putt at 18," the overnight leader told reporters after carding a closing 71 for a 13-under total of 275.
"It was a shame that one didn't go in because I really thought I hit the perfect putt," added Rose who tossed his putter high in the air in anguish after seeing his effort lip out.
"It reminded me of the putt at 18 against Phil Mickelson (in the Ryder Cup singles in September). The line was just outside the right edge and that's exactly where I hit it but unfortunately this time the putt wouldn't go in.
"Would I swap it? No, I wouldn't," added Rose, referring to his part in Europe's victory in Illinois.
The Englishman tied for the lead or held it outright after each of the first three rounds this week and lamented the fact he could not hold on for victory on the last day.
"I ran with the lead the whole way and it would have been lovely to finish it off wire to wire," said Rose.
"It's hard to close out tournaments though. You can't just sit still and wait for it to happen.
"I was a little bit flat on the front nine today," added Rose. "I struggled to make some putts.
"I was really having a hard time reading the greens. They were burned out much more and were just brown."
Rose shared second place with Thorbjorn Olesen who also figured prominently here 12 months ago.
"It's been a great week and I love this place," said the 23-year-old Dane who was joint eighth in Abu Dhabi last year. "Unfortunately I took one shot too many.
"That putt at the last I mis-read. I thought it was left to right and it was almost dead straight but second place is always good especially when you have all the stars of the game here.
"I think this is one of the best courses we play on the whole year," added Olesen.