The Yankees are now 2-5 against the Devil Rays, including a 1-2 mark at Yankee Stadium. Tampa Bay is just 4-27 in all other road games.
Henn, who walked just 12 in 48 innings with Triple-A Columbus, couldn't find the strike zone on Monday night, walking seven in just 4 2/3 innings.
"I don't know what it was," Henn said. "It would be easy to say I was nervous, but I just didn't have it. I was all over the place."
The young southpaw walked the bases loaded with two outs in the second, then walked Carl Crawford to force in the game's first run. Julio Lugo followed with a ground ball to shortstop, where Derek Jeter tried to force out Alex Gonzalez at third, but he threw the ball by Alex Rodriguez instead, allowing two runs to score.
"I don't think I would have gotten him anyway," Jeter said. "There was no chance to get Crawford at second, and it was hit too slow to get Lugo at first. It was basically the only play I had."
"It was a bang-bang situation where it was his only play," said manager Joe Torre. "With the bases loaded, you take your shot at it."
Tampa Bay took advantage of Henn's wildness again in the fifth, using a pair of walks to threaten the Yankees one more time. Torre pulled Henn in favor of Paul Quantrill, who promptly allowed an RBI single by Damon Hollins, extending the lead to 4-0.
Henn was charged with four runs (three earned) on four hits and seven walks, striking out one. He is now 0-2 with a 10.29 ERA in two starts, both against the Devil Rays.
"The first batter, I may have been a little nervous. After that, I settled down, but I couldn't find it all night," Henn said. "You have to make them swing the bat. You have to make them put runs on the board instead of helping them out."
"If there's a problem with him at this point, and he's not quite ready to be here yet, it's his command," Torre said. "He got ahead in a couple of counts and then lost the hitters. He's got Major League stuff, it's just a matter of being able to refine it."
While Henn struggled, Tampa Bay starter Casey Fossum had little trouble against the Yankees' offense. The left-hander held the Yankees without a hit until the fifth, when Hideki Matsui broke up the no-hitter with a leadoff double.
"He got us out pretty easily," Torre said. "We didn't pick up his change of speed as well as we'd like to. We didn't have many opportunities to do anything."
Fossum left the game with a 5-0 lead after Robinson Cano blooped a single to start the eighth, just the third hit of the game for the Yankees. Lance Carter came in for the Rays, giving up a pair of singles, including Gary Sheffield's RBI hit that got New York on the board.
Carter retired A-Rod, but Matsui belted a three-run shot to right, cutting the lead to 5-4. But Danys Baez got the final four outs for his 10th save of the season.
"We fought our way back, but we fell short," Torre said. "It just wasn't supposed to happen."
With the loss, the Yankees remain five games behind the Orioles in the American League East. Randy Johnson takes the mound for New York on Tuesday, trying to get the Bombers back on the winning track.
"Playing with the intensity we played with the last two innings, that's what we need to bring," A-Rod said. "We were a little dead out there. We have to do better than that as a team. We're better than that, so I'll leave it at that."