Verstappen started the Melbourne race from pole but couldn't hold on to his lead for long as Ferrari's Carlos Sainz swooped past on lap 2.
The Dutchman immediately complained about the balance of his RB20, saying the rear started feeling loose.
On lap 4 it became apparent why as his right rear corner started smoking. Towards the end of the lap Verstappen had to back off, retiring into the pitlane with a right-rear brake fire.
"My right rear brake basically stuck on from when the lights went off, so the temperatures just kept on increasing and until the point of course that it caught fire," Verstappen said.
"I had that moment after the first lap, but then already the temperature was increasing and increasing, so it just works like a handbrake. But of course, I didn't know that stuff was happening. It just felt the problem was the car balance was off."
"[The team] could see what was going on, but they don't know what caused it."
Verstappen's brake failure ended a run of 43 consecutive races without a retirement, all in the points too, with his last DNF also coming at Albert Park in 2022.
He says that a good run of Red Bull reliability makes his Melbourne retirement easier to take.
"Of course, we had a lot of good races in a row, a lot of good reliability. And I knew that the day would come that you end up having a retirement and unfortunately that day was today," he said.
"We just had already a very good run of two years so that's already quite impressive. Of course, you never liked to see it happen but it's more important now that we understand why."
Verstappen thought his car was still feeling normal and well-balanced on the recon laps to the grid, and was backing himself to make it three wins out of three this season.
"Of course, I'm disappointed with not being able to finish the race because I think we would have had a good shot at winning," he explained.
"The balance felt quite nice on that laps to the grid and I felt confident and like a good improvement compared to what I felt in the long runs that we did in practice. But yeah, some things you can't control."
