All the Indian players came out wearing the caps handed over to them by Dhoni.
The DDCA had decided to felicitate 'Delhi legends' Kohli, Sehwag and Gambhir before the start of the fifth India-Australia ODI on March 13.
Last month, the BCCI had asked the ICC to "sever ties with countries from which terrorism emanates" following the Pulwama attack.
As a mark of respect to the soldiers who lost their lives in the Pulawama terrorist attack, Indian cricketers sported the Army cap and also donated their match fee for the welfare of the families of the martyrs.
Indian cricket team will be donating their match fees to the family of the Pulwama terror attack martyrs.
The ICC had shot down the BCCI's proposal during its meeting in Dubai last week.
Citing contents of the letter, the BCCI acting secretary said the board's primary concern ahead of the World Cup is players' security.
The news of two Indian nationals being stopped from entering the stadium spread like a wildfire.
The tournament is qualification process for the 2021 Women's ODI World Cup and team's get points for each matches.
A BCCI official said that after the Balakot operation if the government wanted the Indian team to stop playing Pakistan in multi-nation events, the board would follow the directive.