Chasing 173, Pune never looked in contention, but Dhoni played the lone ranger with an unbeaten 32-ball 64 to secure an improbable win for the debutants.
Pune looked down and out at 86 for five in the 14th over before Dhoni brought out his best and smashed five sixes and four boundaries.
Needing 23 runs in the last over, Dhoni struck three sixes and a four. In the last ball of the match, RPS required six for victory and the captain lofted one over the midwicket boundary.
Earlier, Ravichandran Ashwin chipped in with a four-wicket haul to restrict KXIP to 172 for seven in the allotted 20 overs.
Captain Murali Vijay and Gurkeerat Mann hit fine half-centuries to take the team to a competitive total.
The loss has pushed KXIP to the bottom of the heap with just eight points from 14 games.
Opting to bat, Vijay led from the front, scoring a 41-ball 59 that included four hits to the fence and three sixes. He also shared a valuable opening partnership of 60 runs with Hashim Amla (30).
But Vijay and Gurkeerat played with responsibility to steady the boat. The duo put on a 58-run stand for the third wicket before the skipper fell to Ashwin.
Ashwin further tighten the noose by dismissing Gurkeerat and new batsman David Miller in his next over.
None of the lower-order batsmen reached the double figures with Miller concluding a miserable tournament with another failure.
(REOPENS DEL 46)
Wickets kept tumbling at regular intervals, even as opener Usman Khawaja chipped in with a valuable 30.
Dhoni, who did not have a very successful batting stint during the tournament, came up with his best in the last game. He not only managed to consolidate the innings but gave a glimpse of his old self while playing those big shots.
"It was a fantastic game. If we were alive, this is the kind of game you wanted to win to get into the knockouts," said Dhoni at the post-match presentation ceremony.
Perera's dismissal in the 19th over, after a patient 23 off 14 balls, seemed to have closed the door on the debutant team, but Dhoni kept his cool and knocked off the 23 runs in the last over.
Summing up the team's performance in the ninth edition of the IPL, Dhoni said: "Looking back, we started well and ended well. We were never completely outplayed, which gives us the confidence that we can do better next year. We have to lift our game slightly, which will have an impact on our team.
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