'It means the world to me, ' added Khachanov said after the match.
Khachanov became the third different first-time victor of a Masters tournament this season - joining Juan Martin del Potro and John Isner - and will rise to a career-high ranking of 11th on Monday.
"I don't want to talk about that".
"Karen played really well and he deserved to win that match", said Djokovic, who admitted he had struggled to fully recover after his gruelling showdown with Federer less than 24 hours earlier.
Federer, who was seeking to become only the second man after Jimmy Connors to win a century of professional tour titles, lost the first set despite having held set point in the tie-break and had Djokovic in trouble in the final set when the Serb received a code violation at 4-4 for chucking his racket away in disgust after the Swiss had saved two break points.
"The second thing is after some tough loses against top guys like Rafa in NY, I think they push me to the limit and even to work more harder. I couldn't be happier to end the season like this, to win against Novak Djokovic, the number one in the world".
Khachanov became the third different first-time victor of a Masters tournament this year - joining Juan Martin del Potro and John Isner - and denied Djokovic a fourth title in a row ahead of his return to world number one on Monday.
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Djokovic beat Roger Federer in a classic semi-final on Saturday, but failed to match the standards he set on a remarkable winning run as Khachanov rose to the occasion in his first Masters final.
Elsewhere, Russian Karen Khachanov ran out a comfortable 6-1, 6-2 victor against fourth seed Alexander Zverev in their last-eight encounter.
Djokovic saved three break points to reduce the deficit to 4-3, but Khachanov did not allow him a sniff of a break back and sunk to his knees to plant a kiss on the court after an errant backhand from the four-time Paris Masters champion secured the upset.
"He deserves his trophy and I am sure we will see a lot of great matches from him in the future".
Then, with Djokovic clearly breathing harder, he earned the decisive break to go 2-1 up in the second set after the Serbian pushed a weary-looking backhand into the net.
Thiem, the French Open finalist, came from behind to win 4-6, 6-4, 6-4 against Jack Sock, who won the title in Paris past year.