The Cavaliers furious comeback in the fourth quarter on Wednesday night still ended in disappointment.
The Bucks got a tip-in from Caron Butler, and the Cavs could not get a tying three pointer to go down in the 109-104 loss.
The Cavs dropped to 2-3 on the year.
Kyrie Irving led a late charge but with a chance to take back the lead in the final seconds, Kyrie dribbled the ball off his foot for a costly turnover.
Milwaukee surged to a first quarter lead, shooting at a torrid pace from the field and tallying 30 points.
Early in the second quarter rookie Anthony Bennett hit a three pointer to end his NBA drought. He had missed the first 16 shots from the field to start his career.
Andrew Bynum played two different stints on the court for a total of 14 minutes. scored 4 points with 4 rebounds.
The Bucks were led by OJ Mayo, who fired in 28 points on 6 of 7 from three point land. Gary Neal scored 23 for the Bucks.
Irving had 29 points, while Dion Waiters chipped in with 21. C.J. Miles popped in 14 points and hit a three pointer that put the Cavaliers in the lead by one, 104-103, with 60 seconds left.
Those were the last points the Cavs put up in the game.