Djokovic has had the same problems in RG (and in clay in general) that Federer had: Rafael Nadal.
It doesn't matter if they lose to him in the final or in the SF. For example, Roger has lost to Nadal 5 times at RG: four times in the final and once in the SF (and four times it was in the final just because they were nº1 and nº2 in the rankings; had Nadal been nº3 and had they faced in the SF, Federer would have lost to Nadal in 4 SF and one final instead at RG), and Djokovic has lost to Nadal also 5 times at RG: three times in SF, once in the final and once in QF.
Also both Federer and Djokovic have played 10 times against Nadal in M-1000 on clay:
Federer has played 9 M-1000 clay finals against Nadal (winning two) and 1 SF (he lost).
Djokovic has played 7 M-1000 clay finals against Nadal (winning three), 2 SF (he lost both) and 1 QF (he lost)
So curiously enough, both Federer and Djokovic have played against Nadal five times each at RG, and ten times each in M-1000 clay tournaments. The only reason Federer has faced Nadal more times in the finals ( 4 at RG + 9 in M-1000 clay, whereas Djokovic-Nadal finals have been 1 at RG + 7 in M-1000 clay) is that the majority of the time Federer and Nadal were nº1 and nº2 players in the rankings, so they could only face each other in the finals. But had Federer had to play Nadal in some more SF (instead of finals) and he would have lost anyway.
Federer has won 6 M-1000 tournaments on clay. Only in two of them he had to beat Nadal (in three of the other four, Nadal wasn't playing, and in Madrid 2012 Nadal lost early).
Djokovic has won 4 M-1000 tournaments on clay. In three of them he defeated Nadal in the final (in the other one, 2008 Rome, Nadal had blisters and lost in the first round).
So both Federer and Djokovic have been quite equally good on clay (the best two players on clay, behind Nadal) and Nadal has been the only one who defeated them once and again and again and again so many times in the last rounds of important tournaments on clay.
The only HUGE difference between Federer and Djokovic on clay is that Federer was able to win RG in the only one year that Nadal lost a match (to Soderling), whereas Djokovic that same year lost to Kohlsreiber. On the other hand Djokovic has been closer to defeating Nadal in RG than Federer ever was.
And Djokovic is still just 26....so he has time to win RG one day (will he? nobody knows).
The main difference with respect to Federer is that Djokovic knows perfectly well that he indeed can defeat Nadal in RG. Even though he was a bit up and down during his SF match, he was leading 3-1 and 30-0 (on Nadal's serve), close to being 2 breaks up, in the fifth, and then was one point away from a 5-3 lead in the fifth, finally losing 9-7. You can't get any closer than that and still lose. He knows he can defeat Nadal in RG.