Federer lost to Murray in a highly charged five-set thriller in the Australian Open on Friday to set up the final between the Scotsman and defending champion Novak Djokovic on Sunday.
(Djokovic won in four sets to earn his fourth Aussie Open title and third in a row).
Murray won the semi-final 6-4, 6-7 (5/7), 6-3, 6-7 (2/7) 6-2 in four hours.
But Federer was unfazed by the loss and those who see his days as a Grand Slam winner over.
"Nothing has changed," the world Number 2 told media before leaving Australia.
"I've played these guys, what, 60 times?” he said referring to Murray, Djokovic and Rafa Nadal.
"So we know each other really well,” the 17-time Grand Slam winner said.
“We play each other very close, very often,” Federer said.
(We) “keep on trading wins and losses,” he said.
"Novak has done probably the best job getting more wins than losses — that's why he's ranked where he is.”
Federer said he enjoyed playing against the trio and was philosophic about his loss to Murray.
“It's nice playing five sets against him,” he said.
“It was tough tennis — I enjoy that.”
Federer said he was leaving Australia "with a good feeling for the year — I didn't play a tournament leading in, so now obviously I know where my level is at.”
He put another positive spin on the outcome: “Also knowing I have even more time to work on my game, work on my fitness this year, it's something I'm excited about."
American tennis legend Andre Agassi believes Federer must be ranked alongside the likes of Jack Nicklaus and Michael Jordan as one of the greatest athletes of all time, AAP, the Australian news agency reported.
Despite the loss, Agassi a four-time winner of the Australian Open, said the Basel native has “single-handedly separated himself from a world-class field year after year in a way that’s probably never been done.”
Agassi recalled that he was a better player at the age of 33 than when he was 25.
“Given that, I would assume that Roger probably feels like a better player because he’s playing smarter,” AAP quoted him as saying.