India were cruising to victory when Sharma was brought back into the attack to bowl the 48th over.
Four sixes and 30 runs from Australian all-rounder James Faulkner later and the match had swung drastically in the tourists' favour.
Sharma, already under pressure to retain his place for the remaining four matches of the series, cut a disconsolate figure on the field after Australia's incredible comeback win.
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Indian fans were immediately calling for Sharma's head, while hanging their own in shame - but Dhoni said the towering quick was hurting more than anyone.
"When you are disappointed, it's always better to give the individual a bit of time to think by himself," Dhoni said after the match.
"The ideal time (to talk to Sharma) is after going back to the hotel. That's when you have a chat.
"When you are representing your country in front of 30,000 people, if you bowl a bad over, no one wants to bowl a bad over, the individual is more disappointed than anyone, in the stadium or in the team."
Prior to the last of his eight overs, Sharma had enjoyed his best game of the series - taking the crucial wicket of Aaron Finch while owning figures of 1-33 from seven overs.
"We are talking about one over or two overs," Dhoni said.
"The rest... no one is talking about.
"When he gave us the wicket, that was the time we really needed the wicket.
"Overall, you have to see everything. Not one or two bad overs.
"If a batsman plays one bad shot, you can't judge a batsman. If someone is going through a bad period, that's when the team backs him."
Dhoni wouldn't discuss whether Sharma would, as expected, be dropped for the remainder of the series - leaving that decision to the selectors.
"If it is a selection matter, I will discuss it with the selectors and not at a press conference," he said.
"If you base everything on one or two games, the whole team will have to be changed.
"It would be unfair if you want to throw away bowlers from the playing XI after one or two games.
"It's very important to persist with them and give them experience."