Dwyane Wade's return to the line-up wasn't nearly enough for Miami.
Brandon Jennings scored 25 points and Mike Dunleavy had 13 of his 18 in the fourth quarter as the Milwaukee Bucks beat the Heat 104-85.
Wade was back after serving a one-game suspension for flailing his leg and making contact with guard Ramon Sessions' groin during the Heat's 105-92 victory over Charlotte on Wednesday. Wade sat out Miami's 109-99 loss to Detroit on Friday night, which snapped the Heat's six-game winning streak.
"Obviously, the last 48 hours has not gone the way we wanted it to," Miami coach Erik Spoelstra said. "We don't want to make any excuses about it. Milwaukee kicked our butt. They were the better team tonight. We will gather ourselves, get to Orlando and start to work on it."
Wade had 24 points on 10-of-19 shooting, four assists, six rebounds and three turnovers. LeBron James scored 26 as Miami failed to reach 100 points for just the third time in 28 games.
"It's going to take time," Wade said. "We go through this every year. It's a part of the journey. You have to have these moments throughout the season. To win later in the year, you have something to pull from."
The Bucks improved to 16-12, their best 28-game start since opening the 2005-06 season 17-11. Miami (20-8) fell to 6-6 on the road.
Wade said the Heat would love to be undefeated on the road, but that isn't going to happen.
"In the bigger picture, you have to go through these tough moments and have to figure it out as a team," he said. "That's what we're doing right now."
Luc Richard Mbah a Moute scored 19 points for the Bucks, and Larry Sanders had 16 points, 11 rebounds and four blocks. Monta Ellis added 14 points as Milwaukee avenged a 113-106 overtime loss to the Heat in Miami on November 21.
Dunleavy also had nine rebounds, six assists and three steals for the Bucks, who outscored Miami 35-14 in the fourth.
After Jennings hit a three-pointer, Miami called a timeout and removed Wade, James and Chris Bosh with the Bucks ahead 100-79 with 3:13 to play. That was Milwaukee's biggest lead and it didn't slip below 17 the rest of the way. Bosh had 12 points and 16 rebounds for the Heat, who came in averaging 103.4 points a game while the Bucks were at 95.6.
Miami's defence limited the Bucks' shooting percentage, but turnovers were too much to overcome. "They shot 40 per cent from the floor, but we turned the ball over 20-plus times and they got over 20-plus points off those turnovers," James said. "That's not going to be winning basketball."
James had a team-high six turnovers out of the 21 that led to 25 points for Milwaukee.
"You can't give them extra possessions because they're going to make you pay," James said.