The Bulls outrebounded the Thunder 46-32 in the game played at Intrust Bank Arena.
Rose followed two free throws with a pull-up 3-pointer to put the Bulls ahead for good, 89-85.
The victory didn't have coach Tom Thibodeau smiling.
"You never want to feel good in this league," he said "When you start feeling good, well, you know what happens."
But even Thibodeau had to admit that the work of Rose and Deng to close out a game felt familiar.
"They have a great chemistry, know how to read things," he said. "Derrick showed great patience. His shot wasn't falling early, but he was able to make things happen down the stretch."
For most of the game, it appeared Chicago was in control. Then Durant led a comeback
His 12-foot jumper with 5:16 remaining in the third quarter gave him eight points in the half and trimmed Chicago's lead to 64-62.
A layup by Steven Adams with 9:46 to play put the Thunder ahead 78-76, Oklahoma City's first lead since 9-8 with more than 7 minutes left in the first quarter.
"I thought we did a good job trusting the system," Durant said. "We fought back to take the lead. But they did a great job of closing it out."
The Thunder were missing Russell Westbrook, and Serge Ibaka did not play. Kirk Hinrich and Joakim Noah did not play for the Bulls. ... The Thunder completed their preseason schedule and open the regular season Oct. 30 at Utah. The Bulls' final preseason game is Friday against visiting Denver. ... One of the biggest ovations came for Thunder rookie Rodney McGruder, who played at Kansas State. Former Kansas All-America Nick Collison was also greeted warmly and scored 12 points in 23 minutes.