Vettel, facing a winless year after three victories in 2015, set a quickest lap of one minute 40.775 seconds on the ultrasoft tyres in a hot afternoon session at the Yas Marina circuit.
Dutch teenager Max Verstappen was second fastest for Red Bull, 0.137 slower, with Ferrari's Kimi Raikkonen third on the timesheets.
Rosberg leads team mate Hamilton by 12 points going into Sunday's season-ending showdown, with both on nine race wins, and the German needs only to finish on the podium to secure his first championship.
Hamilton, who was fastest in both Friday practice sessions, has won the last three races but knows the title battle is out of his control.
Both Mercedes drivers set their quickest times earlier in the session than rivals, with the main focus on later qualifying.
Hamilton reported a loss of power early on, a problem Mercedes made light of and described as just an "unexpected de-rate" of the engine.
The Briton also complained that he was "constantly getting an issue" with the brakes.
(Editing by Ed Osmond)
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