Dennis put in an exquisite qualifying performance earlier in the day, just missing out on pole in his duel with Jean-Eric Vergne - although set the ultimate fastest lap overall in his semi-final duel against eventual winner Mitch Evans.
But the Andretti squad's pace was less impressive in the race, with Dennis falling down the order and having to be content with a battle over the lower points places.
The Brit was then taken out in a battle with di Grassi, who earned a five-second penalty for his part in the incident which shuffled the Brazilian driver to eighth in the final classification.
Dennis explained that he got "bullied" early on in the race owing to the lack of outright speed.
"We were just slow," Dennis reflected.
"You're always going to get bullied when you're slow, you know, everyone can see that there's a position to gain.
"And then our energy was fine, but we were just lifting way too early into all the corners due to this.
"We were up against it today. We had a good qualifying car, but the race car just wasn't there. We just lacked efficiency. It's a difficult one to take.
"Last year we seemed really strong in the race and this year is the complete opposite. So we've got some work to do and need to look over some software for sure."
Dennis received a five-second penalty himself in Race 1 for contact with Antonio Felix da Costa at Turn 7, where he and Evans then both passed the Portuguese driver.
However, Dennis felt that di Grassi's "divebomb" was a much more severe incident - questioning why the Venturi driver copped the same penalty.
"Di Grassi just divebombed me and took me out of the race," Dennis added.
"I find it bizarre that he gets a five second penalty for what he did to me, yet yesterday, I tapped da Costa and I get a five second penalty. It makes no sense, the penalties."
