For VCs, the exit path is still full of blockades.

Venture capital firms’ returns on U.S. investments slipped for the third consecutive quarter in the first quarter of 2009, according to a  report  from the National Venture Capital Association.

The report, which tracks the Cambridge Associates U.S. Venture Capital Index, said venture capital firms logged a 2.9 percent decline in the quarter. That marks an improvement over the 12.5 percent decline for VC firms in the fourth quarter of 2008 but a slight decline compared with the 1.8 percent dip in returns in the first quarter a year ago.

“The venture benchmark’s first quarter return reflected public market declines, the difficult economic environment, and the absence of IPOs,” Cambridge Associates managing director Astrid Noltemy said in the report.

The Cambridge Index declines come as funding to VC firms and startups has plummeted. Last month, the NVCA reported funding to venture firms collapsed a whopping 82 percent as investments in startups skidded 49 percent compared with a year ago.

The Cambridge report said that venture firms will either have to sell their portfolio companies at reduced values or hold onto them longer because of a “shortage of exit opportunities.”