Two overs later, Bollinger induced an edge to Quinton de Kock (5) for Dhoni to take an easy catch behind the wicket.
The two early wickets pegged the Lions back and they were just 18 for two after the fifth over and 59 for two at the halfway stage.
But Bodi and McKenzie steadied the run chase after the initial jolt and then took their side to a position from where they could launch for a win.
Bodi was the dominant partner as he played most of the shots, including the two sixes off Albie Morkel in the ninth over. He reached his half century in 38 balls with a six off Faf du Plessis in the 12th over which yielded 14 runs.
Image: Highveld Lions Gulam Bodi, right back to camera, celebrates with team members after they took the wicket Chennai Super Kings Albie Morkel, left, during the Champions League Twenty20 in Cape Town, South Africa, Tuesday, Oct 16, 2012.