Competing in the women's 10-metre air pistol event, Heena qualified for the finals with an impressive second-place finish. But she failed to replicate that in the medal round, finishing at the bottom among the top eight shooters.
After totalling 388 with the help of 9x in the qualifying round, Heena could not manage more than 75.7 in the finals.
Annu Raj Singh and Ruchita Vinerkar could not even qualify for the finals after finishing dismal 14th and 27th respectively.
China's Jie Ren won the gold in Heena's event with a total score of 201.8. The silver went to Serbia's Zorana Arunovic (199.0) and Kim Jangmi (177.8) of Korea bagged the bronze.
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Rahi Sarnobat had on Friday scripted history by becoming the first Indian pistol shooter to clinch a gold medal in the ISSF World Cup when she pipped local hope Kyeongae Kim 8-6 in the final of the 25m sports pistol event.