Venus was eliminated in the second round yesterday during a 60-minute match against Agnieszka Radwanska of Poland.
Serena, on the other hand, was eliminated in a historic first round match against 111th ranked French player Virginie Razzano two days ago.
Their eliminations mark the first time in 43 major tournaments that neither sister made it to the third round, reports the Huffington Post.
Venus, after making an ungodly 33 errors, 27 more than her opponent said, "I felt like I played. That pretty much sums it up."
Venus who's still battling her autoimmune disease, Sjogren syndrome, says she still has a lot to work on. "I don't know if I ever asked myself, 'Why me?' I mean, obviously it's frustrating at times. I don't know if there's anything mental more I can do at this point, but there's a lot of stages to go through the with this kind of thing."
Serena, the per-tournament's favorite to win, got teary eyed as she processed her first-round defeat. "I've been through so much in my life, and… I'm not happy, by no means," she told the Associated Press. "I just always think things can be worse."
Up next for the sisters is the 2012 Summer Olympics in London.