The 26-year-old German, who had made a good start to take third place from Australian team mate Daniel Ricciardo behind the two Mercedes drivers, slowed on lap four and reported he had no power.
"Come on guys," exclaimed the frustrated driver, before adding: "I mean, you're trying everything."
After a long pit stop, Vettel returned to the track in last place but then told his team over the radio on lap seven that he was stuck in first gear.
On lap eight, with a string of blue flags warning him to let faster cars through, he was told to return to the pits and retire.
Vettel, winner of the last four championships and final nine races of 2013, has been on the podium just once this season - third in Malaysia in March.
The German started the weekend in fourth place in the championship, 55 points adrift of Lewis Hamilton who had won the last four races for Mercedes.
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