Sanam, who had entered the singles main draw as Lucky Loser, lost the match 5-7 4-6 but not before giving a good fight to current world number 44 player.
Sanam, ranked 373, battled it out for one hour and 43 minutes and succeeded in breaking the serve of his superior rival thrice in the match.
He broke Davydenko twice in the opening set but lost his own thrice as the two players struggled to hold.
In the second set, Sanam saved five breakpoints but succumbed on two other occasions as the Russian survived a scare before moving to the next stage.
Sanam had lost in the final round of the qualifiers but made it to the main draw as lucky loser.