The two-time Olympic speedskating gold medalist from Chicago, who had won five straight World Cup races, needed at least a second place in the finale to clinch a fifth straight season title at 1,500 meters.
But Davis finished sixth, leaving him third in the standings and allowing race winner Havard Bokko of Norway to claim the season title.
Davis still has a shot at a fifth season title in the 1,000 meters. He stands second going into Sunday's finale.
At the World Short Track Championships in Shanghai, Glenview skater Lana Gehring got off to a slow start with an 11th place in Friday's 1,500 meters.