Media playback is not supported on this device
Bogdana Sadovaia opened the scoring for Russia and after Leah Wilkinson levelled, Sadovaia hit the winner.
Earlier in the day Wales' men won promotion to the top tier of European hockey by beating France 4-3 in their semi-final in Glasgow.
The win sent Wales' men into their final on Saturday, against Scotland.
It also meant promotion to the the eight-nation European A Division for the first time in 2019 while their female counterparts will stay in the B Division.
Wales women had beaten Austria and Poland, but lost to Belarus on the way to the semi-finals.
They face Italy in Saturday's play-off for third place while Belarus lie in wait for Russia in the final.
Neither Wales side has been in the EuroHockey A Division since it was reduced to eight teams more than a decade ago.
The nation's women were playing in the third tier just four years ago.
Wales captain Abi Welsford told BBC Wales Sport: "We put everything we could into the performance and just ended up on the wrong side of the result. They had a few more penalty corners than us and they took their chances well. We'll take heart in the way we performed and will be aiming for a third place finish now."
Head coach Kevin Johnson added: "We can be very proud of the way we tried to play the game. Every time we go out and play we want to be a better team and we're doing that. We're on a quest to push up the world rankings and continue to gain ranking points. This tournament has already been a success for that."
Wales' hopes of reaching the top tier of women's hockey were ended as they lost to Russia in the EuroHockey Championships semi-final in Cardiff.