It was the second week in a row that Henman had fallen at the first hurdle. Last week he lost at the same stage in Stuttgart to Stefan Edberg.
Moya, at No 24 in the world, is ranked one place higher than Henman, but the British champion had beaten him in straight sets in their previous meeting this year and had plenty of chances this time to get a grip on the contest.
In the first set Henman played one fine game which he completed with a lucky net cord to break Moya's service in the ninth game.
But after clinching that set by serving out to love he lost his way during the next four games. At 15-30 in his second service game of the second set Henman saw Moya find a lucky net cord with a passing shot, and another net cord on the very next rally with a return of serve.
After that the contest was full of unpredictable ups and downs and Henman mixed superbly created points with bread and butter errors.
He recovered from 0-40 in the last game of the second set to earn himself a point to break back - all to no avail - and then recovered again in the third set from a break down to reach 3-3.
"I played well to give myself chances to escape but I should never have let myself get into trouble in the first place," Henman said.
A case in point was the seventh game of the final set when Henman fretfully dropped his serve to love. Although he saved one match point in the final game and earned a break back point to level the scores, his extra effort came too late.
Moya finished it with a rousing ace, leaving the Briton's supporters with the impression that it was a match Henman should have won.
"When the nationals are finished I am looking forward to having a break because it has been a very long and busy year." Henman said. "I would be lying if I said I don't feel due a break.
"I don't think I was as tough as I should have been in some of the rallies and I must be disciplined and cut out the errors. I still think I have a good chance in my last ATP tournament of the year in Moscow next week and I don't want to miss it."
Greg Rusedski, the British No 2, who last week beat Moya in the first round at Stuttgart, rose two places, from 56 to 54, in the latest ATP rankings list issued yesterday.