Finland were tipped by oddsmakers as one of a few teams that could disrupt the favourites Canada and the United States in Milan, but instead kicked off their title defence with an unconvincing performance at Santagiulia Arena.
"We need to improve our game, but overall I think I saw lots of good stuff," said Finland coach Antti Pennanen, adding that it was too soon to say if he would make significant changes for upcoming matches.
"A huge disappointment that result," he added.
The return of NHL players to the Games after an absence of 12 years has brought a brighter spotlight to the men's tournament. But in Wednesday's Group B game, it was a goalie from the NHL's development league who played the star.
Slovakian goalkeeper Samuel Hlavaj, who plays for the Minnesota Wild's minor-league affiliate Iowa Wild, blocked 39 of 40 shots to help secure the win, fending off a stout Finnish roster that is almost entirely comprised of NHL players.
"They were a really strong and hard team and good defence as we expected," Pennanen said.
"But overall, I think they had really good goaltending today, and we didn't score the goal. We had lots of good chances."
Finland will have to improve in a hurry, as its way forward may not be any easier. Nordic rivals Sweden, another squad made up entirely of NHL players, are expected to put up a strong fight when they meet on Friday.