Playing his first ever final at this level, the Indian left-hander lost 6-4 4-6 3-6 after two hours and eight minutes on the Centre court of the Balewadi Sports Complex.
It is first full season for Prajnesh after five years as he overcame stress fracture issues in his knees to make a comeback and considers 2016 as his breakthrough season.
Playing in the quarterfinals of the Delhi Open Challenger early this year was the best show of the season for him apart from winning a Futures singles title in Chennai.
Doumbia dictated the points initially but Prajnesh still managed to play to his strength - a crushing forehand. He held his nerves at crucial junctures, whether he fell behind or faced breakpoints but could not convert five break chances he got in the deciding set.
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Doumbia was magnificent with his net play as he stood their like a rock and never let Prajnesh pass him. He also controlled the match with his superior game as he found way to wriggle out of difficult situations.
The Indian said Doumbia's solid net game did not make a big difference to the outcome of the match.
"Not really, I was a set and a break up. I was did create chances but just could not convert," he said before adding that his career-best performance will give him a lot of confidence for future.
Doumbia played very smart as he opened up court by consistently playing on the backhand of Prajnesh and then unleashed his rasping single-handed backhand for winners.
The Indian was put under pressure from the beginning as he faced as many as four break points in his first service game though came out unscathed.
To Prajnesh's credit, he retrieved the balls consistently and kept the ball in play, looking for mistakes from his opponent. The unforced errors in long rallies earned Prajnesh three breakpoints in the third game.
The French player saved the first two but served a double-fault on the third to hand Prajnesh first break of the match. However, the Indian had a chance to further consolidate the lead but he not only missed a break chance in the fifth game but also dropped serve in the sixth.
The left-hander served out the set in the next game but not before saving two breakpoints. Both the players struggled to hold serve in the second set. After breaking each other twice they were locked 4-4. Doumbia sealed the second set with a deft volley, breaking the Indian in the 10th game to stretch it to a decider.
Prajnesh had a chance to draw first blood but he could not convert the breakpoint he got. But Doumbia did not miss his chances as he had the Indian gasping 0-40 in the next game and again found a drop volley winner on the second breakpoint to take a 2-0 lead.
Meanwhile, the top seeded Indian pair of Purav Raja and Divij Sharan won the doubles title with a 3-6 6-3 11-9 win over Luca Margaroli and Hugo Nys.
It is the fourth Challenger title for Raja and Sharan this year. They had also won the ATP 250 doubles title in Los Kabos in Mexico.