The pre-season title favourite started from pole position in Montreal for the third successive year and was running at the front of the race alongside the 19-year-old Italian when his car slowed and stopped at the side of the track on lap 30.
The retirement allowed Antonelli to claim his fourth consecutive win of the season and to increase his championship lead over Russell from 18 to 43 points after five grands prix, all won by Mercedes, and three Saturday sprints.
"It feels like the gods don't want me to be in this fight," Russell said, citing a poorly timed safety car in Japan, a qualifying breakdown in China, and Sunday's retirement.
Nevertheless, he remained determined to fight on for the championship, despite the growing points gap.
"The pressure's off now. I'll go out and enjoy every single race, try and win every single one, I've got nothing to lose," he added.
"It is, of course, frustrating, and I want to be in that fight."
Russell, who had won the sprint race on Saturday and impressed throughout the weekend after the team's latest upgrades, threw his headrest out of the car before stepping away as the virtual safety car was deployed.
Despite his frustration, the 28-year-old Briton said he was enjoying the contests with Antonelli.
"I haven't seen a battle like this probably since Lewis (Hamilton) and Nico (Rosberg) in Bahrain 2014," Russell said.
"These new cars allow you to do that. Kimi and I had a great battle."
Teenager Antonelli said he was also disappointed that his teammate had retired.
"It was a tough fight," he said. "We were both pushing and we both wanted to win.
"And it was, I think, for everyone watching, pretty entertaining... Of course, it was not good seeing him having a failure because it would have been a very intense fight all the way to the end."
