The Brazil great made her 200th appearance for the national team in their second group-stage game, but it was marred by a late lapse in concentration that saw Japan score twice in stoppage time to win 2-1.
Jhennifer's 56th-minute goal looked set to book Brazil a place in the quarter-finals of the tournament, but instead, they slipped down to third in Group C after Saki Kumagai and Momoko Tanikawa's goals.
And with world champions Spain up next for the two-time silver medallists, Marta, who is retiring at the end of the year, noted why it is so important that they quickly put that result behind them.
"All that mattered to Japan was winning the game," Marta said. "We took our eye off the ball and that has obviously ended up costing us.
"We could have been here celebrating a win, but instead we have to remain focused. But it's not over yet. We have to give it everything as a group. That is football. Anything can happen. Nothing has been decided."
The top two teams in each of the three groups advance into the knockout rounds, along with the two best third-place sides.
While Brazil would go through as things stand, that could all change on the final day, and head coach Arthur Elias echoed Marta's call to learn from the loss.
"I need to make amends, I need to tell the players the truth, no matter if it hurts," he said. "They obviously need to reflect. But I really recognise the effort of each and every one of them."
The Selecao's all-time leading scorer with 118 goals, the 38-year-old will appear at her final tournament with her country, having announced in April she will retire from international duty at the end of the year.
Marta has already made Olympics history. In Tokyo, she became the first player - male or female - to score at five successive Games, while she was part of the side that won silver medals in 2004 and 2008.
And Elias welcomed the inclusion of the six-time FIFA World Player of the Year, who has scored four times for Orlando Pride in the NWSL this season.
"She brings a lot to the table, she's the greatest athlete of all time," he said. "She's playing well, she deserved to be on this list.
"Marta's performance, her behaviour - with or without the ball - makes all the athletes see her as an example.
"I have the challenge of finding a way of playing to maximise her game. But she knows that you can only win with everyone."
Brazil begin their campaign against Nigeria on July 25, while they will also play Japan and 2023 World Cup winners Spain in Group C.
The Brazil great narrowly missed Olga Carmona's head with an out-of-control attempt to reach the ball in first-half stoppage time, receiving a straight red card in what could turn out to be her final-ever Olympic game.
Brazil needed a win to secure a place in the knockout rounds, but now they face a nervous wait to see if they will be one of the two best third-place teams in the last eight – a match they would have to play without their captain.
Athenea del Castillo eventually got the breakthrough after 68 minutes, before Alexia Putellas scored in the 107th minute to ensure they stayed perfect to top the group.
It was a dominant performance by La Roja, who created an expected goals tally of 2.75 from 27 shots compared to Brazil's 0.3 from 10 efforts.
Spain will face the best third-place team from either Group A or B in the quarter-final on Saturday.
Meanwhile, Japan also secured a spot in the knockout rounds with an emphatic 3-1 victory over Nigeria.
Japan stunned Brazil in the second group game and continued their momentum by getting the job done in the first half.
Maika Hamano and Mina Tanaka put them 2-0 up before Jennifer Echegini pulled one back for Nigeria.
However, Hikaru Kitagawa's strike just before the break restored Japan's two-goal cushion and held onto that lead to set up a meeting with the winners of Group B in the next round.
The United States face Brazil in Saturday's showpiece match at the Parc des Princes in a repeat of the 2004 and 2008 finals, fixtures the US won on both occasions.
Hayes, who was appointed as Vlatko Andonovski's successor in May, has won eight of her nine games in charge (D1), scoring 19 goals and conceding just twice.
The former Chelsea head coach won her seventh WSL title in her final season with the Blues, saying her rapid transition to the international stage has been a "whirlwind".
"Going from my beloved Chelsea to the US women’s national team - what a whirlwind and what a dream all at once," Hayes said.
"To finish my time with Chelsea with another Women's Super League title and then be here competing for gold, honestly this is the stuff dreams are made of.
"I have visualised this moment so many times in my life."
Brazil are seeking their first gold in women's football at the Games, and are boosted by the return of Marta, who will play her final international match on Saturday.
The 38-year-old was shown a red card in Brazil's final group game against Spain for a high foot, resulting in her missing the quarter and semi-finals.
Marta has scored 121 goals in 203 appearances for her nation, becoming the first player to score in five straight Olympics with her brace against Japan.
“When I was a young coach assisting Vic Akers at Arsenal, we played a Women’s Cup two-legged final against Umea, the Swedish champions, and they had a young Marta,” Hayes recalled.
“I remember being on the touchline thinking, ‘Oh my goodness, who is this extraordinary player?’ To witness what she’s done on the pitch, I think she’s been more than a role model and icon, she’s been the best player.
“What she’s done for Brazil or the generation coming through, she’s been an inspiration.”
Team USA have the chance to win a first gold medal since London 2012 after winning bronze in Tokyo three years ago.
Despite winning 16 major titles during her time at Chelsea, Hayes is hungry to add to her trophy cabinet while continuing her unbeaten start in the US dugout.
"I like winning, it's part of my DNA," Hayes said. "I'm with a team that likes winning so of course our goal is to win the gold medal."
