The British driver was running in a strong position to claim valuable championship points when the second safety car emerged for Alex Albon's Williams, which was stuck in the gravel.
But as the field prepared for a thrilling finale behind the safety car, Russell - who was third behind eventual race winner Max Verstappen and Kimi Antonelli - suddenly parked his car on the main straight and shook his head as he climbed out.
"You've almost got to laugh, it's beyond disappointment. It's just so many times this season it's happened. It's a real shame," Russell said.
"The podium looked very certain. Solid race, not amazing race, but solid race. But not the first time, so I'm pretty used to this feeling."
The retirement meant Russell's championship deficit grew from 66 points to 84 behind Antonelli.
"I don't need to say I think it's (championship hopes) gone or whatever, but of course it's exceptionally unlikely and that's just the reality," Russell added.
"I knew if I wanted to come back, I needed luck on my side... It's a real shame."
Mercedes boss Toto Wolff confirmed it was a power unit failure on Russell's car.
"I'm so massively annoyed. I'm not in a happy place," Wolff said.
"First of all, we didn't have the speed that we were hoping to have before the weekend, so there's a lot of homework to be done in order to recover, which I'm sure we will."
With the two Ferraris of Lewis Hamilton and Charles Leclerc finishing third and fourth, Mercedes' lead in the constructors' standings is now 151 points.
"We had such an advantage (with) two safety cars, you couldn't be more unlucky," Wolff added.
"And to make things worse, a PU failure with a few laps to go to the end with George, which is terrible for his championship and not good at all for our constructor points.
"So as much as I love to be here, when I look at the pure races, one of my worst experiences, to be honest."