With the tie level at 2-2, Italy's Francesca Schiavone and Roberta Vinci won the deciding doubles match by walk over when Belgian Justine Henin-Hardenne retired through injury with the score at 3-6, 6-2, 2-0.
Belgium, who were without world number five Kim Clijsters with a wrist injury, struggled in the final after Henin injured her right knee in her singles match on Saturday against Flavia Pennetta.
The world number two felt upset at letting her team and home crowd down, but said her injury was too much to overcome.
"It was really terrible to have to finish the match in this way. The pain in my knee was really too much and I'm sad for the team and spectators but I gave my all in the two singles matches and I was really tired while I was playing the doubles," said Henin.
"It is never much fun getting injured in these circumstances because we have had a good competition this year. On a personal note, I hope the injury is not too serious and I can return to action soon."
Earlier in the day, Henin defeated Schiavone 6-4, 7-5 to give Belgium a 2-1 lead in the tie, only for Italy's Mara Santangelo to even things up after beating Kirsten Flipkens 6-7, 6-3, 6-0.
The win completed a dream run for the Italian team after they accounted for the highly fancied France in the quarter-finals and Spain in the semis, both away from home.