Hosts England needed 130 to win, in a match reduced to 20 overs a side because of more bad weather, and they fell short in the face of inspired Indian spin bowling.
"We are the number-one ranked side, let's make it show," Dhoni told a news conference. "Let's make them fight for 130 runs and not look for outside help."
Dhoni said he told his players to forget this was supposed to be a 50-over game.
"It was a 20-over game and we have seen at the IPL and in Twenty20s that 130 can be a very difficult target to achieve," he said.
"Also I said nobody could look to the left side of the pitch where the rain was coming from.
"I said 'God is not coming to save us, if you want to win the trophy we have to fight it out'."
In a tournament where his world champions won five matches out of five, Dhoni said he thought it was a slightly unsatisfactory end to a major tournament.
"I think it is a bit unfair in the ICC Champions Trophy that we had to play a 20-over game to find a winner of the 50-over format," Dhoni said.
"Still, they (the ICC) needed a result. This means a lot because we are playing here against some of the best sides in the world and to beat England in a 130-run game is very difficult."
Dhoni then paid tribute to opening batsman Shikhar Dhawan, the top-scorer in the tournament, and man-of-the-match Ravindra Jadeja.
"Shikhar is a slightly different character," Dhoni said.
"A fun-loving guy but he backs himself to play big strokes. That has helped him in this tournament and he'll gain a lot from the way he has played over here.
"And Jadeja is someone who keeps it very simple. He looks to hit the right area and the ball does the talking."
England captain Alastair Cook said it was his lowest moment since taking charge of the team last year.
"It's a tough pill to swallow at the moment," he said.
"We had high hopes coming in today of achieving something special.
"Clearly from there you would back yourself to win more times than you would lose in that situation, but it shows how quickly games can change in Twenty20 when you lose a couple of wickets.
"We got close. I'm proud of the way the lads have fought from being under a fair bit of pressure in this tournament.
"Quite a lot of criticism and flak has been thrown our way and yet we got to the final and played some good cricket. We just couldn't quite get over the line."