Dhoni also happens to be the captain of the Indian Premier League (IPL) franchise Rising Pune Supergiants, which he'll keep doing.
Dhoni is leading a star-studded India A side in the first warm-up match against England at Mumbai's Brabourne Stadium.
The most successful Indian captain across all formats, however, lost the toss in his final match as captain. The 35-year-old Dhoni walked out to the toss to a huge reception.
"Of course my last game as captain. I'll still be captaining in the IPL and may be the Jharkhand team. Looks a good wicket. We were looking to bat first. It may swing in the evening. It'e one ground where it's slightly difficult to control," Dhoni said after England skipper Eoin Morgan opted to bowl.
It was a warm-up match between India A and England but for the fans it was all about Dhoni.
When asked about the fans and he said, "Thanks to all of them. They have been behind me for a long time since 2007. Good for them to turn up (in large numbers). The fact that they have turned up for a warm-up game shows they love me. It is a good feeling. At the end of day you want fans to love you."
Dhoni was also felicitated by the Cricket Club of India (CCI) for his outstanding captaincy career and contribution to Indian cricket.
Last Wednesday (January 4), Dhoni stepped down as India's limited overs captain. Virat Kohli took charge as the new leader.