The world number one had beaten Rafael Nadal in the finals of Wimbledon, the US Open and the Australian Open but the Spaniard stopped the rot at Roland Garros to win a record seventh French Open title.
Not since Rod Laver in 1969 has a man held all four titles at the same time, with Roger Federer, Nadal and now Djokovic all missing the chance in recent years.
The Serb said: "It's behind me now. Yes, I was so close, and there was a slight disappointment after the match because I was aware of the chance that I had at Roland Garros.
"But the day after I felt good about my tournament, about my achievement in Paris. It was the first time I had been in the finals of Roland Garros.
"That's a step further from all these years that I've been playing in Paris. That's something that made me satisfied. I'm still only 25, so I believe that I have a lot more years and a lot more chances to win Roland Garros."
Djokovic had a dream weekend in London last July, securing the world number one ranking and his first Wimbledon title, which he celebrated by eating a bit of Centre Court grass.
"It gives me a lot of confidence, that's for sure," he said.
"I'm playing with more self-belief on this surface, which is the rarest surface we have now in sport. I realised my dreams last year. I played a perfect tournament."
The top seed, who will open proceedings on Centre Court against Spanish veteran Juan Carlos Ferrero, has not played a warm-up event on grass, instead choosing to play only an exhibition.
The option of extending the gap between the French Open and Wimbledon from two weeks to three is being considered, and Djokovic would be an enthusiastic supporter.
He said: "There have been talks. The bottom line is that we are all trying to work for the good of the sport. The players, the officials, tournaments, everybody who is involved in tennis, we all love this sport and all try to make it better for everybody.
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"We've had this schedule forever, I think. My personal opinion is that it is too short. We need an extra week, because it would give especially the top players a little bit more time to get used to the surface."
Nadal would also approve of extending the grass-court season, saying: "I always say it is great to play more and more on clay and grass because those surfaces are historic in the world of tennis."
The rivalry between Nadal and Djokovic is now the most compelling in tennis, usurping the Nadal-Federer duopoly that dominated the sport for so long.
The Spaniard feels privileged to have been a part of both, and believes his tennis has kept improving because of the intense competition.
Nadal said: "All the classic matches are because you played a lot of matches in very important circumstances between each other.
"That happens a lot of times with Roger, a lot of grand slam finals, a lot of Masters 1000s, competing for very important tournaments in our careers.
"But with Novak we start to have all of this, too. It's great. I feel very lucky to be part of these two rivalries. I think it is something that brings special motivation to the game, to keep improving my tennis.
"Because if you are not able to improve your level of tennis, you are dead in this very competitive world of tennis. That's what I've tried all my life."
Joining Djokovic in first round action is Federer, who takes on Spain's Albert Ramos on Court One, while sixth seed and former finalist Tomas Berdych faces unpredictable Latvian Ernests Gulbis on Centre.
Meanwhile, all eyes will be on David Nalbandian after his disqualification in the Queen's final when he meets eighth seed Janko Tipsarevic first up on Court One.