Verstappen, who is sitting sixth in the World Championship after a slow start to the season, clocked a fastest time of 1:44.410 in P1, edging out team-mate Daniel Ricciardo in second by 0.430 seconds.
"I think they (Ferrari) still are favourites in terms of the fact their auto seems to work everywhere".
Vettel, twice, and Felipe Massa (Williams) were also nearly thrust into the turn, while Ricciardo was instructed by his team to be very careful and go very wide as he approached the turn to Give space. For me, it's not like I want more, but I feel like I have more potential, and I feel like it's a constant journey to discover just what that potential is. "I guess I was just chasing that little bit too much".
To cap another frustrating weekend for the team's Dutch starlet Verstappen, the 19-year-old was forced to retire on lap 11 with major engine troubles forcing him into his fourth retirement in the last six races.
"I thought we could have been fighting at the front today but the time from Mercedes was really quick, they proved to be out of reach but Ferrari weren't too far in front at the end", he said.
Practice times are not necessarily an indication of a team's strength as cars may have different fuel loads and tyres as the teams prepare their set-ups for Saturday's qualifying and Sunday's race.
On another frustrating day for Fernando Alonso, the Spanish driver ended up helping mechanics wheel his vehicle away after the engine blew with about 30 minutes left.
The British driver's 66th pole moved him one ahead of Ayrton Senna and just two behind Michael Schumacher's record of 68.
Despite feeling he'd missed out on a better grid position, Verstappen says he is pleased with the progress Red Bull has made to be competitive on a power-sensitive circuit.
"We had to wind the engine down, which cost me quite a bit of lap time", the Dutchman said. Most of us run pretty low downforce so the street circuit is slippery, we have low grip on the auto and the corners are tight so there isn't much room for errors, so it is a pretty high risk circuit in terms of mistakes. "We've clearly still got lots of work to do ahead of qualifying".