The Commonwealth Games silver medallist was bidding for her second Grand Prix crown in the space of six weeks.
"I don't think I played particularly badly, but just that extra little bit of tension, just not hitting convincingly enough," said Gilmour.
"I did everything I could to get that feeling back but she (Kjaersfeldt) was on form today."
Despite Gilmour winning a close first game 21-16, the Dane responded strongly by taking the second by the same scoreline.
When Gilmour led 13-10 in the decider, Scotland's hopes were high but fourth seed Kjaersfeldt turned the tables to lead 16-15, then move swiftly to 20-15 before clinching victory on her third match point.
She had beaten the top two seeds in Gilmour and Beatriz Corrales in the last 24 hours and she beat both players on the way to her first Scottish Open final appearance in 2011.
Top seed Gilmour, who last month won the Dutch Open Grand Prix as well as the Prague Open, had wanted to provide the perfect finish to the Championship.
"It's not lost on me that I'm 22 and could still have eight of these to do," she said. "I need to look at silver linings.
"I've got a long time in this game; this isn't the end for me. This isn't the end of the Scottish Open Trial. Everything right now is experience and a learning curve until I stop playing. I need to take this one on my chin.
"I landed a bit funny yesterday and brought back an old injury, but adrenaline is running through me right now so I don't feel a thing!"
Kjaersfeldt said: "I wasn't really that nervous. I knew all the pressure was on Kirsty coming into the match, so I was just relaxed and played my game.
"I'm really happy. It was my first Grand Prix win. It was a really good atmosphere. The crowd here are very knowledgeable about badminton and I always enjoy coming here."
Danish top seed Hans-Kristian Vittinghus defeated England's Rajiv Ouseph with a 21-19, 11-21, 21-16 victory to claim the men's title for Denmark for the first time since Peter Gade won in 1996.
Finals day got off to an unhappy start when Dutch player Iris Tabeling had to retire in the second game of the women's doubles with a suspected torn calf.
She and Samantha Barning were trailing 21-14, 14-11 when the injury occurred, handing victory to Japan's Yuki Fukushima and Sayaka Hirota.
Germany's Michael Fuchs and Johannes Schoettler downed England's Andrew Ellis and Peter Mills in winning 21-15, 21-18 in the men's doubles.
The mixed doubles went to Russia's sixth seeds Vitaly Durkin and Nina Vislova, who defeated France's third seeds Ronan Labar and Emilie Lefel.
Kirsty Gilmour was beaten in the Scottish Open final by Line Kjaersfeldt at Glasgow's Emirates Arena.