The 34-year-old was playing for Surrey in their match with MCC Universities Oxford.
England's record run-scorer was substituted and did not return for the final session.
He later tweeted: "I DO NOT have an injury! It's not news! Thank you Oxford for a great couple days...
"Lovely people & even nicer lunches & teas! X"
Steve Leach, the students' left-handed opening batsman, edged a Gareth Batty off break delivery towards Pietersen at short fine leg.
Pietersen tumbled as he attempted to take the catch, but the ball evaded him.
He shook his hand gingerly and laughed as he left the field.
Pietersen made 170 in Surrey's first innings on Sunday, hitting 24 fours and two sixes in 149 balls.
It was his first hundred in any form of cricket since the Old Trafford Ashes Test in August 2013, as he aims to regain his England place in time for the Ashes.
Pietersen is expected to play in Surrey's County Championship match at Glamorgan, which begins on Sunday.
Kevin Pietersen has insisted he did not injure himself when he landed awkwardly missing a catch during his return to domestic cricket.