The Olympic gold medalist was far superior in the first set, which he took thanks to a tiebreak, before dropping the second after an untimely double fault inspired Djokovic to level the match.
It prompted the world number one to seize the initiative, and the Serbian took the final two sets to seal his third consecutive Australian Open title – and his fourth overall.
Murray has now lost three Major finals in Melbourne, but the third seed stayed positive after an impressive end to the 2012 season, which saw the Brit win his first Grand Slam at Flushing Meadows.
“There’s going to be some obvious reasons for me feeling a little bit better,” said Murray.
“The last few months have been the best tennis of my life. I made Wimbledon final, won the Olympics, won the US Open. I was close here as well. It was close.
“I know no one’s ever won a slam immediately after winning their first one. It’s not the easiest thing to do. And I got extremely close.
“I have to try and look at the positives of the last few months, and I think I’m going the right direction.
“This is the first time I’ve beaten Roger in a slam over five sets [in the semi-finals]. I think I dealt with the situations and the ebbs and flows in that match well.
“I felt much more comfortable on the court today than even I did at the US Open, so that has to be a positive.”
Murray also played down the significance of a blister on his right foot which appeared to hamper the British No1 in the final two sets.
“It’s just a pretty large blister which you get them. The US Open final I had two black toenails. It happens, often, especially when you’re doing that much running.”