The late producer collaborated with Khan on his last film Jab Tak Hai Jaan.
Khan told the Hindustan Times: "Yash ji and I used to talk about life. I had a relationship with him which was beyond films and more than films. We never sat down and discussed much about the film.
"There is a certain dignity by the way [his death] has been covered. I have been watching all the programmes made on his life. I am not feeling sad that he is not there. I feel sad, but there is a strange feeling that he has not gone. He is still surrounding us."
The industry veteran said that he decided against shooting the last song in Jab Tak Hai Jaan after the producer's death was announced.
Kajol - Khan's co-star in Dilwale Dulhania Le Jayenge - described Chopra's death from dengue fever "the end of an era" in Bollywood.
Watch the trailer for Jab Tak Hai Jaan below: