Standing in for Seve Ballesteros, who is still recovering from brain surgery, the Scot opted to include himself for the match, as well as leading a side which blended both youth and experience.
Asia put up a strong fight, taking an early lead in the opening day's foursomes, and looked like forcing a play-off as they trailed by just one point with only one match remaining in the singles.
However, after a bogey by Thongchai Jaidee on the last, Sweden's Henrik Stenson holed out from six feet to half the tie and secure an 8½ - 7½ victory.
"It was an honour to captain the team," said Montgomerie, who kept up his remarkable singles record in team competition with a half against China's No.1 Liang Wen-chong.
"We came here with a strong team and it was very, very close. All credit to my team for fighting. They all contributed at least a point out there this week and we did great.
"It's a very important year for European golf and this has been a good start for us," added Monty, who will lead a 12-man European team against the United States in the Ryder Cup at Celtic Manor in October.