Judges rejected a challenge launched by the unvaccinated tennis star after the government cancelled his visa on "health and good order" grounds.
Djokovic said he was "extremely disappointed" but accepted the ruling. He left on a flight to Dubai on Sunday.
It marks the end of a 10-day saga, in which Djokovic fought to stay to defend his title in the Australian Open.
Djokovic's supporters fell silent outside the courtroom as the decision was announced on the eve of his opening match in the tournament. One fan told the BBC that her summer would be "empty" without the 34-year-old playing at the Open.
Australian Prime Minister Scott Morrison welcomed "the decision to keep our borders strong and keep Australians safe".
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