"She played well. I don't think I was playing so bad," Li said. "Maybe, sometimes the wrong choice made me lose a lot of important points."
It was the top-seeded Li's first loss of the year having won her two previous tournaments: Shenzhen and the Australian Open.
Regardless of her early defeat in Doha, Li will move up to a career-best No. 2 in the WTA rankings on Monday, overtaking Victoria Azarenka, who was not defending her Doha title because of a foot injury.
Li, playing her first tournament since winning the Australian Open, had a 3-1 lead in the third set, but the 133rd-ranked Cetkovska refused to fold.
"It's an amazing victory," Cetkovska said. "It's a little bit difficult to describe exactly what I feel at the moment.
"Even though I was 3-1 down in the third set I could manage to make it and get through."
Despite breaking Cetkovska's serve on six of 12 opportunities, and surrendering only three of her own service games in 11 break points faced, Li played tentative tennis throughout the two-hour, 46-minute match.
"It was cold. It's windy," said Li, noting the inhospitable weather greeting tennis players in Doha this week.
"The court is a little slower. When I think I can hit a winner the opponent always gets the ball back, so I always have to be ready for the next shot."
This marks the eighth time Cetkovska has beaten a top-10 player. It's only the second time she's beaten a top-three ranked player -- she upset the then third-ranked Agnieszka Radwanska at the 2011 Rome tournament.
In other matches, fourth-seeded Sara Errani of Italy defeated Monica Niculescu of Romania 2-6, 7-5, 6-1, fifth-seeded Jelena Jankovic of Serbia defeated wild card Alisa Kleybanova of Russia 6-1, 6-2, and sixth-seeded Angelique Kerber of Germany sent Klara Zakopalova of Czech Republic packing 6-2, 6-3.