Messi showed flashes of brilliance but it was not his night as Venezuela put three past their more illustrious rivals for the first time with goals from Salomon Rondon, Jhon Murillo and Josef Martinez. Lautaro Martinez got Argentina's consolation.
Messi finished the match but felt some pain in his groin and will sit out Tuesday's friendly against Morocco in Tangier, the Argentine Football Association said after the game.
The injury, described as a flare up of an existing problem, was not thought to be serious. Midfielder Gonzalo Martinez will also miss the Morocco match with a thigh strain.
Jose Salomon Rondon of Venezuela in action against Lionel Messi of Argentina during the Friendly match between Argentina and Venezuela at Wanda Metropolitano stadium in Madrid, Spain on March 22, 2019
Image credit: Getty Images
A statement issue by Barcelona late on Friday said:
Lionel Messi did not have the return to international action that he would have wanted, and an injury picked up on Friday night means he will miss Argentina's game against Morocco on Tuesday.
The FC Barcelona star captained his side and played the entire 90 minutes of the friendly against Venezuela at the Wanda Metropolitano in Madrid, but they would lose 1-3.
It was his first appearance since the 2018 World Cup quarter final loss against France, which was followed by a short-lived international retirement for Argentina's all-time top goalscorer.
Whilst he would feature from start to finish, a problem with his pubis means that Messi will not play in the second friendly of the international break.
Messi took a sabbatical after his country's last-16 exit from the 2018 finals in Russia but he returned with a clean shaven new look to captain the side in the all-South American affair at Atletico Madrid's Metropolitano stadium.
Venezuela had only beaten Argentina once in 23 previous encounters, but they got the perfect start after five minutes when Rondon brought down a long pass inside the box and crashed a shot past keeper Franco Armani.
Rondon should have made it two with a header in the 40th but the second goal was only moments away as Murillo took advantage of a quick free kick to scamper to the edge of the box and curl a lovely right-foot shot into the far corner of the net.
Football players of Venezuela celebrate after scoring a goal during the Friendly match between Argentina and Venezuela at Wanda Metropolitano stadium in Madrid, Spain on March 22, 2019
Image credit: Getty Images
Lautaro Martinez finished off a superb counter attack to pull Argentina back into the game after 59 minutes but their hopes were short lived and Venezuela's Josef Martinez made it 3-1 from the penalty spot with a quarter of an hour remaining.
"In the first half we created chances but they scored twice when we made mistakes," said Lautaro Martinez. "In the second half we did well and moved the ball about but they got that penalty. We need to keep improving."
Argentina face Morocco in Tangier on Tuesday, while Venezuela's next face Catalonia in Girona on Monday.