Rossi took the lead from Sordo in the second of the event's 10 stages, when the WRC frontrunner picked up a penalty for hitting a cone.
From that point on, the Italian controlled the event, finishing 18.4s clear of Sordo – who saw off GT ace Bonanomi by half a second for the runner-up spot.
Alessandro Bosca took fourth, while Roberto Brivio – co-driven by his brother and Suzuki MotoGP team boss Davide – was fifth.
“In the last few years, together with Monster Energy, we have really built up the event to something very special," Rossi said. "This year we have had great weather, and a lot of people came out to watch and support.
"Of course to finish the season with a victory is a great feeling. To win the rally and the Master Show at the same time is fantastic. Taking the win in front of the grandstands, with the great atmosphere here in Monza is very special to me.
"I am so focused for the entire season on racing, so when it comes to the end of November, after Valencia, I can't wait to meet the team and drive my rally car. Of course I always want to be competitive as a rider or driver, and I want to fight for the podium when I am in the car here at Monza.
"I am here again also with Uccio and Brivio, and we talk about this event throughout the year about who will win between them. It's a great way to have the thrill of a race, without the huge pressure I experience in MotoGP. I'm very happy and very proud - thank-you to all my fans and team and everybody - it's the best way to say 'Ciao for the year.
Rossi previously won the event in 2006, 2007, 2012 and 2015. He will be back on his Yamaha MotoGP machine when the winter testing ban ends with the official Sepang test, in late January.
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