Cologna made a perfectly-timed move in the final stages to win by 1.6 seconds over Ilia Chernousov before Alexander Legkov in third, Maxim Vylegzhanin in fourth and Evgeniy Belov in fifth.
Remarkably, despite leading the overall World Cup standings ahead of the Olympic test event, it was the 26-year-old's first win of the season.
Cologna, who was second in the sprint in Russia on Friday, admits he is shaping up nicely for the Nordic World Ski Championships to be held in Val di Fiemme, Italy later this month.
"I tried to be a bit behind the group. It was a tough race until the final bit. I saved some power for the final, I like the last uphill and I had good legs and tried to attack," said Cologna.
"I am very happy to have won. I think it is good to be in Sochi. I like the tracks and I am in good form and hopefully good shape for the World Championships and it was very good to win in Sochi."
Chernousov had to battle hard to hold onto second place in the closing moments and he did so to deny Tour de Ski champion Legkov by just 0.2s.
He in turn finished 0.4s ahead of Vylegzhanin while Belov was a further 5.3s behind for fifth with Germany's Tobias Angerer sixth, 10s shy overall.