Kendall Coyne scored shorthanded while Hilary Knight and Anne Schleper added power-play goals Saturday as the U.S. shut out Canada 3-0.
Jessie Vetter made 26 saves for the Americans, while Jocelyne Lamoureux added two assists.
"We lacked a little bit of energy at times but I have to give full credit to the U.S. because they really played hard and were able to chip a lot of pucks down into our zone," said Canadian head coach Dan Church. "They brought a lot of pressure off the forecheck. When they're doing things like that it's very difficult to generate momentum."
Charline Labonte made 19 saves in taking the loss for Canada, which defeated the Americans 3-1 in the round-robin portion of the tournament.
"We didn't do the things we did when we played them earlier in the week," Church said. "We weren't as quick to pucks, we didn't skate all the way and we didn't get into battles as much as we did the other day."
Meanwhile in the bronze medal game, Sweden beat Finland 3-1.
The U.S. opened the scoring Saturday with Coyne's unassisted short-handed goal at 12:46 of the first.
"It was a tough battle and I think as a team we didn't play to our full potential or follow the gameplan and the U.S. caught us off guard," said Canadian forward Meghan Agosta. "No team should score on the penalty kill and they went down and scored shorthanded and that kind of killed us.
"We just didn't really play our game."
Church said Coyne's goal stung the Canadians, but added that his team should have been able to respond.
"We have to learn from that because we have tons of games still left ahead of us and I don't think we were expecting to win 1-0," he said. "You can't let one goal impact how you view the rest of the game or how you're going to perform so that's a big lesson for us."
Knight doubled the U.S. lead at 14:13 of the second on the power play before Schleper made it 3-0 at 15:35 of the third on another man advantage.
The Canadians last won the Four Nations Cup in 2010 when they defeated the Americans 3-2 in overtime. The U.S. beat Canada 4-3 in a shootout in last year's final in Sweden.
The tournament serves as an evaluation opportunity for Canada ahead of the 2013 women's world hockey championship, which takes place in Ottawa this April.
Church said that despite the loss, he was pleased with the team's overall performance in Finland.
"Our younger players have developed considerably since the (2012) world championships," he said. "I think our overall system of play and our style of play was very good over the course of the tournament.
"We just have to learn how to consistently play at the same level against the U.S. so that we can be a dominant team."