Chicago (7-0) remained the only unbeaten team in the preseason behind Rose, who hit three 3-pointers in the final 4 minutes. He scored 26 points on 6-of-15 shooting in 34 minutes.
Luol Deng had 20 points and 10 rebounds for Chicago.
Kevin Durant's 22 points in 32 minutes and Jeremy Lamb added 19 points for the Thunder (3-3) while Reggie Jackson had 14 points.
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.