Left-handed Divij and his Chinese Taipei partner Lu squandered a comfortable two-set lead to lose 6-2 6-2 6-7 (3) 3-6 2-6 to Briton Jamie Delgado and Luxembourg's Gilles Muller in the first round, which lasted two hours and 29 minutes.
Raja and Demoliner suffered a 2-6 4-6 4-6 loss against 15th seeded pair of Juan-Sebastian Cabal from Colombia and Marcin Matkowski from Poland.
Divij and Lu were cruising, being two set up and leading 4-2 in the third, but dropped serve in the seventh game to allow Delgado and Muller to make it 5-5.
Divij and Lu woke up to the fightback put up by their rivals and got an early break to be in advantageous position but Delgado and Muller broke back to make it on serve.
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The Indo-Taipei pair found itself trailing 3-5 after losing serve in the eighth game and surrendered the set as the contest stretched to fifth set.
In an ominous start to the decisive set, Divij lost his serve in the third game to hand a mini opening to the rivals, who consolidated the lead with a solid hold in the next.
Divij's best Grand Slam performance has been a pre-quarterfinal appearance at last year's US Open with Lu. This year, he made first round exits at Australian Open and French Open with Lu and Australia's Rameez Junaid respectively.