Pennetta became, at 33, the oldest first-time Grand Slam women's champion in the Open era with the 93-minute triumph.
"It's a dream come true," Pennetta said.
But only moments after accepting the trophy, she said she had decided to retire after her ultimate victory.
"This is the way I would like to say goodbye to tennis," Pennetta said. "I'm really happy."
The only other Italian woman to win a major singles title was Francesca Schiavone, who captured the 2010 French Open and set the former oldest first-timer age mark at 29.
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"Before this tournament I never think to be so far. I never think to be a champion. When things come like this it's a big surprise to me."
Italian prime minister Matteo Renzi was among 23,771 in Arthur Ashe Stadium watching the first all-Italian women's Grand Slam final of the Open Era.
Pennetta took the top prize of $3.3 million (2.9 million euros), while runner-up Vinci received $1.6 million.
Pennetta previously had won only $712,401 this year while Vinci's 2015 prize money before Sunday was $422,158.
"Always when I was younger I was thinking to be number one," Pennetta said. "I was also thinking to win Rome but I think Grand Slam may be a little better."
Pennetta, ranked 26th, and Vinci, ranked 43rd, each played in her first Grand Slam final after pulling a semi-final shocker.
Vinci shattered the hopes of Serena Williams to achieve the first calendar Slam since 1988 with a semi-final win over the top-ranked defending champion while Pennetta dispatched Romania's second-ranked Simona Halep.
"I passed the 24 hours with a lot of things on my mind. I was really tired especially in the first set, but I was in the US Open final so I was really happy.