Li raised gasps from the Rod Laver Arena crowd as she rolled her left ankle twice in the 4-6 6-4 6-3 loss on Saturday, and banged her head on the blue centre court on the second fall, causing her to black out momentarily.
"It was actually pretty heavy at that time. There was two seconds there where everything was black and I couldn't see a thing," the 30-year-old Chinese told reporters.
"So when the doctor and the physio came out on to the court, I sat up, but it took a long time to fully come around.
"At the time I was really afraid ... I'm scared of bleeding.
"Also I could hear this sound ringing in my ears."
As her husband Jiang Shan bit his fingernails in the crowd, a doctor gave Li a concussion test, asking her to count how many fingers he was holding up.
Under the stern examination, Li could not help but see the lighter side of her position and she broke into a broad grin, raising a roar of approval from the stands.
"They were staring at me very seriously, and I started to think it was funny," said Li, Asia's first grand slam singles champion.
"It was like being at a children's hospital where parents take their kids for checkups."
Sixth seed Li was trailing 3-1 in the second when she first rolled her ankle and bashed her head after having taken a 2-1 lead in the decider.
Although her mobility appeared restricted in certain points, and she declined to chase every baseline bullet fired down the lines, Li said the falls had not really affected her.
"Because I am stupid," she joked when asked how she had fallen. "Without falling down I was feeling pretty good ... It was a very tough match. She's number one, defending champion.
"So, I think today in (the) important games she was playing better than me, so that's why she can win the title."
The loss was former French Open champion Li's second disappointment at Melbourne Park, having been similarly overhauled in the 2011 final when she took the first set against Kim Clijsters.
As Azarenka wept in relief and happiness after closing out the match, Li quietly retired to her chair, where she sat motionlessly and stared as tears welled up in her eyes.
She consoled herself with the knowledge that after losing the 2011 final to Clijsters, she broke her grand slam drought at Roland Garros a few months later.
"After the match was over, there was some sadness. But it was over, it was already a fact. What's the point of crying more?" she said. "Tears don't solve anything."