India beat Australia by 15 runs in their semi-final to set up a showdown with traditional rivals Pakistan in Johannesburg on Monday.
"It's the biggest stage and the biggest match you can play," Dhoni told a news conference.
"It's a match that needs to be played with intensity and I think we are ready to do that."
Despite the interest that will be generated by the match in the sub-continent, Dhoni said the Indians would not feel the pressure.
"The pressure will be immense, not on us though because I don't believe in taking pressure and none of my team do either," Dhoni said.
"Taking
Yuvraj Singh, who spurred India to victory with an aggressive 70 off 30 balls, agreed with his captain.
"India versus Pakistan is a dream final, the whole world is going to be watching," Yuvraj said.
Australia, champions of the 50-over World Cup earlier this year, have dominated world cricket for more than a decade but on Saturday they were left to dwell on a rare defeat.
"We'll go away and talk about it, we'll realise this format is probably going to have a big impact on world cricket," Gilchrist told a news conference. "We need to analyse and put some thought into it.
"There's no-one up there in our dressing room who doesn't care about it.
"It's annoying and frustrating if you go into a competition hoping to win it and you don't."