The Serbian fought off five match points in the second set to win the encounter 5-7 7-6 (13/11) 6-3 in a match which lasted over three hours.
"It was a disappointing one to lose," said Murray, who missed out on a third straight China Open title.
"I've lost tougher matches than that before in the biggest events, so I'm sure I'll recover from it pretty well."
He added on atpworldtour.com: "The second set, I probably played a little bit better. But he came up, served very well on the match points. The one match point I had on my serve, he hit the forehand onto the edge of the line. On the game where I served for the match, he also came up with some good shots.
"It's not like I threw the match away. I didn't make any real glaring errors or anything. When I had my chances, he just served very well and hit a couple of lines when he needed to."
Murray headed into the match buoyed by a semi-final triumph over world number one Roger Federer, and after being broken early on he recovered to win an opening set which saw seven breaks of serve.
The US Open champion looked to extend his unbeaten record in China to 13 matches when serving for the match 5-4 up in the second but the Serbian broke back with the game going to a tie-breaker.
Murray fell 3-1 behind in the breaker before getting back on terms and carving out two more match points at 6-4.
Djokovic saved both and then two more at 8-7 and 10-9 before finally levelling the match on his fourth set point.
The world number two had the momentum and a break in the decider to go 4-3 up put him firmly in control, before sealing the win on Murray's serve.
"It's difficult to judge who was better because it was so close throughout the whole match," Djokovic told the ATP website. "We had so many rallies in three and a half hours; for a best-of-three-set match it is a very long time.
"It could have easily gone the other way. He was five match points up. When I faced those match points, I tried to focus on each individually.
"He was so close to the victory that I cannot say I was the better player."