Davydenko, the subject of an ATP betting probe, rallied from a set down to win the second, prompting the angry American to smash his racquet on the floor.
But the Russian collapsed in the decider, losing 6-3, 4-6, 6-2 in two hours and two minutes.
It was an impressive performance from the fifth-ranked Roddick, who has been labouring with foot and knee problems and shrugged off the racquet incident.
"I've always been pretty expressive and emotional on the court," he said.
"Sometimes it helps, sometimes not so much."
The result is further bad news for Davydenko, who has been questioned along with his wife and brother over a match he played in Poland in August.
Gambling website Betfair refused to pay out after unusually large sums were wagered on his opponent, 74th-ranked Argentine Martin Vassallo Arguello, who lost the first set but was handed the match when Davydenko retired injured.
The 26-year-old was then fined for not trying at St. Petersburg and warned by the umpire for again sending down multiple double faults against Marcos Baghdatis in Paris. He later blamed an elbow injury.
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