"It means the world to me", Khachanov said after the match.
It was the first time in their 12 years of battling that Djokovic had won four matches in succession against Federer, equalling the run that the Swiss himself had once achieved at the dawn of their rivalry.
Khachanov will now rise to a career-high world No 11 when the rankings are updated on Monday and overtakes Borna Coric as the second alternate for next week's ATP Finals in London. I want to talk about how well he (Khachanov) played all week.
Djokovic will return to No. 1 in the rankings for the first time in two years on Monday, but the Serb will be disappointed at missing out on a 73rd career title, having withstood the best of Federer on Saturday. "I want to talk about how well (Khachanov) played all week and absolutely deserved to win today".
As the first set neared its conclusion, Djokovic showed signs of fatigue and Khachanov employed his aggressive game plan - hitting 18 winners in the opener - to break for a second time and move 6-5 ahead, before recovering from 0-30 to seal the first set.
The match promised much, and delivered from the off as Djovovic gave fans a glimpse of what was in store in the very first set, needing 71 minutes to overcome Federer 7-6 (8-6).
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.
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But world number 18 Khachanov, a victor at the Kremlin Cup in Moscow last month, hit back in the very next game as Djokovic dragged a forehand into the tramlines, down break point.
"To finish my season like this is a dream", Khachanov told the crowd in the Bercy arena, explaining that Djokovic had always been an inspiration to him.
Djokovic outlasted Federer in an energy-sapping classic that lasted over three hours on Saturday, and the Serb began to look tired as he dropped serve to a fall behind early in the second set.
"I'm sure we'll see a lot of great games from him in the future", conceded Djokovic.
"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".
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 a year ago.