Thiem is once again fighting through his matches and enjoying himself, but confidence is admittedly still lacking for the 29-year-old.
The former world No.3 and 2020 US Open champion, who came in ranked at No.96 after battling right wrist and abdominal injuries, fell to a second loss in three matches this year. He missed the Australian Open and got his first win last week in Argentina.
"Today was a little bit better than I did in Buenos Aires," Thiem said.
"But still when I step in it is too many mistakes. I need to find the right timing again, find myself closer at the baseline again."
Thiem, who won the Rio Open in 2017, dropped the first set against the 83rd-ranked local Monteiro in 27 minutes, with the Austrian making a series of unforced errors.
Thiem righted himself in the second set, relying on his forehand and his patience on the baseline. But after a back-and-forth third set, the Brazilian won the tiebreaker comfortably to close out the two-hour 46-minute match.
"I was never injured before. I didn't know how long it would take. It is taking as long as it takes. I am not stressing out," Thiem said.
"I have the feeling I was defining myself way too long with results. It is very unhealthy, especially mentally, if I define myself only with results."
Monteiro will next face either second-seeded Brit Cameron Norrie or Juan Manuel Cerundolo in the clay-court tournament.
Elsewhere, there were straight-sets wins for Pedro Martinez, Hugo Dellien and ninth seed Alex Molcan.
Defending champion and second-ranked Carlos Alcaraz faces Mateus Alves in the first round on Tuesday.
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