Djokovic, a record four-time champion at the indoor event, looked out of energy after an epic three-hour semifinal win against Roger Federer on Saturday.
After also being taken to three sets by Marin Cilic in Friday's quarterfinals, Djokovic's semifinal finished at around 8 p.m. He felt he was unable to recover sufficiently from that draining encounter.
"I didn't unfortunately. But I don't want to talk about that," he said. "I want to talk about how well (Khachanov) played all week and absolutely deserved to win today."
Asked again whether it was also a case of emotional and mental fatigue, after such an intense tussle with Federer, Djokovic repeated his praise for Khachanov.
"Karen played really well and he deserved to win," Djokovic said. "All the credit to him."
Although Djokovic broke in the fourth game to move 3-1 up and then led 30-0 on serve, the unseeded Khachanov broke him straight back and the momentum abruptly shifted away from Djokovic.
"I make a couple of unforced errors and just played a bad game," Djokovic said. "Unfortunately, I just didn't have that little extra."
The Serb seemed agitated at times and twice turned to his box to remonstrate about an unspecified issue during the first set.
Khachanov broke for 6-5 when he hit a powerful shot down the line that Djokovic could only scoop back into the net. The unseeded Russian won the first set with a big first serve that Djokovic could not return, stretching out his racket in vain as the fizzing ball clipped the frame.
Djokovic struggled to handle Khachanov's brutal two-handed, cross-court backhands from the baseline, which often landed near his ankles, and dropped his serve again to trail 2-1 in the second set. He had to save three more break points in the seventh game to hold for 4-3 down.
"He was playing big from the back of the court, flat backhands and forehand. He can really hurt you," Djokovic said. "His serve is really, really strong and precise."
After both players held to love, Khachanov showed no nerves -- even though he was in his first Masters final -- and served out the match.
He secured victory on his first match point when Djokovic chopped a backhand return wide. The imposing Russian thrust both his arms in the air and, moments later, knelt down to kiss the court.
Djokovic will return to No. 1 in the rankings for the first time in two years on Monday, but he will be disappointed at missing out on a 73rd career title, having withstood the best of Federer on Saturday.
Still, the Wimbledon and U.S. Open champion has plenty to feel good about after a 22-match winning streak, and he remains favorite for the season-ending ATP Finals in London, beginning Nov. 11.
"I'm satisfied of course and I'm going to be No. 1 tomorrow. What more can I ask for? I mean, I won 20-plus matches in a row and had a most amazing last five months," he said. "I'm getting into (the) season finale feeling good about my game."
The 22-year-old Khachanov, ranked 18th, is the first Russian to win here since Nikolay Davydekno in 2006. Marat Safin won it three times before that.
Khachanov added this title to the Kremlin Cup in Moscow last month for his third title of the year and fourth overall.
He has won all of his four finals.
"We're going to see a lot of him in the future," Djokovic said.