The move comes amid US-led accusations that North Korea has transferred weapons to Russia for use in its war in Ukraine.
Both Russia and North Kore have denied the accusations but vowed last year to deepen military relations.
"This is almost comparable to destroying a CCTV to avoid being caught red-handed," said South Korea's UN ambassador Joonkook Hwang of Russia's veto.
China abstained from Thursday's vote while the remaining 13 UN Security Council members voted in favour.
"Moscow has undermined the prospect of the peaceful, diplomatic resolution of one of the world's most dangerous nuclear proliferation issues," deputy US ambassador to the UN Robert Wood told the council.
Formally known as the Democratic People's Republic of Korea (DPRK), North Korea has been under UN sanctions for its ballistic missile and nuclear programs since 2006, and those measures have been strengthened over the years.
UN sanctions are imposed indefinitely.
But during negotiations on the draft text vetoed on Thursday, Russia and China had unsuccessfully pushed for it to include a requirement that the sanctions regime be renewed annually.
This was rejected by the US and others.
The panel of independent experts has monitored those UN sanctions for the past 15 years, reporting twice a year to the Security Council and recommending action to improve implementation of the measures.
Russia's UN ambassador Vassily Nebenzia questioned the experts' work, telling the Security Council before the vote: "Its work is increasingly being reduced to playing into the hands of Western approaches, reprinting biased information and analysing newspaper headlines and poor quality photos."
Switzerland's UN ambassador Pascale Baeriswyl, who chairs the Security Council's North Korea sanctions committee, appealed to countries individually or collectively to now support the committee with information "to the best of their abilities".
Ahead of the vote, the US and South Korea launched a task force aimed at stopping North Korea from procuring illicit oil.
Under UN sanctions, North Korea is limited to importing four million barrels of crude and 500,000 barrels of refined products a year.
The mandate for the current panel of experts will expire on April 30.
The panel's most recent report was made public earlier this month and said it was investigating dozens of suspected cyberattacks by North Korea that raked in $US3 billion ($A4.6 billion) to help it further develop its nuclear weapons program.
"The panel, through its work to expose sanctions non-compliance, was an inconvenience for Russia," the United Kingdom's UN ambassador Barbara Woodward said.
"But let me be clear to Russia, the sanctions regime remains in place and the UK remains committed to holding DPRK to account for its compliance."
For the past several years the UN Security Council has been divided over how to deal with North Korea.
Russia and China, veto powers along with the US, UK and France, have said more sanctions will not help and want such measures to be eased.
China and Russia say joint military drills by the United States and South Korea provoke North Korea, while the US accuses China and Russia of emboldening North Korea by shielding it from more sanctions.
