While chatting with Manoj Tiwary, who was standing at slip, Kevin Pietersen asked the Indian batsman to tell MS Dhoni that he was better golfer than the latter. Dhoni stood close to Tiwary and replied that Pietersen was his first test wicket!
Here is that exchange!
Watch When Dhoni trumped KP with his wit from Rising Pune Supergiant vs Mumbai Indians 2017 on Hotstar
MS Dhoni shows a great presence of mind while replying to a cheeky question from Kevin Pietersen during the VIVO IPL 2017 match between RPS and MI
This is the incident MS Dhoni was referring to. Though it should be noted that Pietersen asked for a referral after the decision was given by Billy Bowden and TV umpire Marais Erasmus overturned the decision.