Sabalenka has reached seven finals this year, winning three titles, and leads the WTA Tour with 40 wins in 47 matches.
However, the two major losses will sting. In Paris, she made serene progress through the draw before beating three-time defending champion Iga Swiatek in a momentum-swinging semi-final.
She overcame Gauff in Madrid in the build-up to Roland Garros, but the American has now won both of their Grand Slam finals.
Sabalenka will still be a favourite at Wimbledon, where her powerful game should translate well to the grass courts, but she will first take a break.
“I already have a flight booked to Mykonos,” the 27-year-old said.
“I just need a couple of days to completely forget about this crazy world [and] being like the tourist.”
Former British number one Greg Rusedski, who analysed the match for BBC Radio 5 Live, said Sabalenka is “already up there” as a Wimbledon contender.
“She will reflect on being more calm in those big moments, not wasting energy on court and dealing with these things,” he said.
“The grass courts are much higher bouncing now, which suits her game.
“On top of that, if she manages to get her sliced serve into play then I think she will have no problem whatsoever adjusting to them.”