Kjaersfeldt led 15-11 in the first set and 6-3 and 10-9 in the second set, but again had to settle for second spot in the seventh final of her career on the BWF World Tour where she has lost all of them.
27-year-old Chen Yu Fei, who won Olympic gold in 2021 and now has 16 BWF World Tour titles to her name, was World No 1 at the end of 2019 and is currently number 13.
The 30-year-old Dane, however, had a bright opening to the match, seized the initiative and forced the strong Chinese into making a lot of mistakes.
Kjaersfeldt turned 4-7 into 12-7, and Kjaersfeldt led 15-11 when Chen Yu Fei started to settle into her usual stylish stride.
She turned up the pace and suddenly looked like the player she used to be in 2021.
Chen You Fei finished off the first set with a delicious drop ball at the net, and Kjærsfeldt seemed to accept her fate.
Kjaersfeldt again had the better start to the second set, but Chen Yu Fei again revealed that she has an extra gear when needed.
Several times the match seemed decided, but Kjaersfeldt fought on bravely but still couldn't prevent the Chinese from taking her 16 BWF title.