It's not obvious to me that it's psychological at all, and it seems to me that it's only reported as such because it makes a good news story.
Here are some stats on this (collected by other people):
https://www.reddit.com/r/tennis/comments/habvu8/big_3_matche...
https://www.quora.com/How-often-has-Nadal-lost-after-holding...
https://tt.tennis-warehouse.com/index.php?threads%2Fmatch-po...
According the most recent of these threads Federer's lose-after-match-point percentage is 1.4%. Djokovic's is 0.2%. Djokovic also has a much higher win-after-facing-match-point percentage. It's hard to claim that this is purely due to randomness.
If you want to convince yourself that choking is a thing, then this is a stat you might look at.
But, this stat is just as likely to be more influenced by how close your opponent's skill was on that day (how often you play opponents at a similar skill level), your and your opponent's relative stamina, whether those match points appeared in a regular service game or a tiebreak (how often your style of play goes to a tiebreak), and perhaps even pure luck - out of thousands of tour players, some are going to have incredible luck.
the "mental toughness" argument cuts both ways. pulling out a win after two match points in a grand slam speaks as much to djokovic's own mental fortitude as it does to federer's lack thereof.
I would only have to choose among all the other match points he has won through the 20 grand slams he has won. Only considering Federer vs Djoko, Federer won 46% of the matches. There a lot of match points won there. Also, considering only Grand Slams, Federer won 6 out of 17. Not a great record, but still no negligible number of wins. And I would attribute that bad performance more to Djoko skills, and maybe also Djoko physical peak coinciding with Federer older age, than to any thing psychological.