The 28-year-old came back from sixth in the first run of the slalom, to finish 0.08 seconds in front of France's Clement Noel.
Overall and Giant Slalom globe winner Alexis Pinturault finished third, 0.11 seconds behind Feller.
Marco Schwarz led after the first run, but a mistake in the second meant he had to settle for sixth.
It has been a fantastic season for the Austrian, who secured the slalom crystal globe one week earlier in Kranjska Gora, finished on the podium seven times in 11 events, and clinched gold in combined at the Cortina 2021 World Championships.
"The whole season was pretty good for me. I'm feeling pretty happy and satisfied," Schwarz told FIS after the race.
"It's come step by step, we've trained pretty hard this season. I want to continue the good work in slalom and make the next step in GS and maybe Super G"
The event in Lenzerheide also saw the last outing of French veteran Jean-Baptiste Grange, whose career highlights include two slalom world titles and a World Cup slalom globe.
The alpine season may be over, but you can re-live some of the emotions of this thrilling skiing season in Olympic Channel series Cirque Blanc, which takes you behind-the-scenes with the women's French speed team.