World No.3 Murray was worn down 6-7, 7-6, 6-3, 6-2 by Djokovic as the world No.1 gained revenge for his defeat by Murray in the US Open in September.
Murray was hoping to become the first man since Lew Hoad, in 1956, to follow their first grand slam title by winning the next one, but with blisters slowing him down in the third and fourth sets, he ran out of steam in Melbourne.
"I have to try and look at the positives of the last few months and I think I'm going in the right direction," said Murray. "This is the first time I've beaten Roger (Federer) in a slam over five sets. I think I dealt with the situations and the ebbs and flows in that match well. And I felt much more comfortable on the court today than even I did at the US Open, so that has to be a positive."
After his first two runners-up finishes here, in 2010 and 2011, Murray lost his form for several months but the world No.3 said he expects to recover from the defeat more easily this time round.
"There are going to be some obvious reasons for me feeling a little bit better [than before]," he said. "The last few months have been the best tennis of my life. I made the Wimbledon final, won the Olympics and won the US Open. And I was close here as well. It was close.
"I know no-one's ever won a slam, the immediate one after winning their first one [in the open era]. It's not the easiest thing to do. And I got extremely close."
Murray admitted he was a little stiff after coming through a four-hour, five-set match with Federer on Friday night, while Djokovic had enjoyed an extra day off. But the 25-year-old said he did not feel like the scheduling had played a major role in his defeat.
"Anyone who watches the game, or any sport, will know, or any sport, that if you have longer to recover from matches then the better, obviously," he said.
"You guys can write that if you want [but] I'm not going into any complaining about that. Sometimes the scheduling works for you, sometimes it doesn't. Sometimes I have had luck with that, sometimes it has gone the other way."
Murray had treatment for a blister on his right foot at the end of the second set but although he found it harder to change direction, he said it had played no part in the match slipping away from him at the end of the third set and in the fourth.
"It is just a pretty large blister, but you get them," he said. "In the US Open final I had two black toenails. It happens