HBO's series, which is shown on Sky Atlantic in the UK, has hooked legions of fans across the world with its complex fantasy drama spiced with sex and violence.
It is shot in Northern Ireland at the Titanic Studios in Belfast, and is estimated to be worth more than £60m to the region's economy.
One Hollywood source estimates Scotland lost out on about £160m generated by the production over several years.
When HBO was looking for locations to shoot the series, based on the books by George R R Martin, executives met with film bosses in Scotland and were eager to shoot the whole show here, several sources have said.
However, with no film-scale or high-end TV facility in Scotland, they decided to shoot the majority of the series in Belfast, with principal photography for its first series beginning July 2010.
It has committed to shooting another series in Belfast this summer, taking advantage of Northern Ireland's scenery and skilled film workforce.
Although Doune Castle near Stirling was used in the early episodes as Winterfell, the seat of the House of Stark, no more of the series has been filmed in Scotland.
A high-profile film source said: "When contemplating where to shoot Game of Thrones, HBO first thought of Scotland.
"The settings were a natural fit: hills and glens and rugged castles. However, the lack of a studio meant the production logistics, control and cost made no sense to production planners."
The source added: "Northern Ireland seized upon the opportunity and were able to convince HBO to base the entire production in Belfast.
"As a result of Scotland's deficiency, Northern Ireland has won a crucial opportunity to improve and sustain its film and TV infrastructure."
The series also receives funding from Northern Ireland Screen, worth up to £9.25m.
The show is a fantasy about the political and violent clashes between several noble families for the Iron Throne of the Seven Kingdoms, and has a largely British cast.
Moyra Lock of NI Screen said: "It has been an incredible shop window for our most spectacular scenery", adding that scenes were shot in Tollymore Forest, the mountains of Mourne and the Antrim coastline.
Titanic Studios is an eight-acre site including its Paint Hall studio and two sound stages.
Creative Scotland, which was launched in 2010, is keen to avoid the risk of another high-end series slipping through Scotland's hands and is putting aside £1m for a successful film studio plan.
One insider said: "We welcomed them with open arms, but the fact is, we didn't have a studio to offer them."
Fiona Hyslop, who has been made aware of the Game of Thrones loss, has set up an industry panel to work out the best economic case for a major studio in Glasgow.
A Creative Scotland spokeswoman said: "There is no doubt that Scotland would be able to compete at a much higher level with a fully-equipped studio.
"The recently introduced UK tax breaks for high-end television drama signify a significant opportunity for Scotland's film and television industry.
"A studio facility would most certainly lead to an increase in film and television productions coming to film in Scotland."