Carlos Delfino missed a running 10-footer in the lane before the buzzer.
Andrew Bogut hit his first nine shots from the floor and scored a career-high 32 points on 13 of 14 shooting. Delfino chipped in with 22 points for the Bucks, who dropped to 5-18 on the road.
Dallas led 108-101 before Delfino hit a pair of 3-pointers to bring within a point.
Two days after beating the New York Knicks 128-78 for the largest win in franchise history, the Mavericks tied an NBA record with their 10th consecutive victory in a one-point game. The St. Louis Hawks also won 10 straight one-point games from 1959-1960.
The Mavericks have beaten Milwaukee seven straight times in Dallas. The earlier meeting between the teams went down to the last second before Nowitzki won it at the buzzer in overtime.
Dallas, which led by as much as 53 against the Knicks, was never ahead by more than nine against Milwaukee and it was tied midway through the fourth quarter at 95.
Nowitzki hit a jumper and Jason Kidd followed with a 3-pointer to give the Mavericks a 108-101 lead with 2:07 left.
Delfino hit consecutive 3-pointers, including a 32-foot 3-pointer as the shot clock was running down to make it 108-107 with 27.6 seconds left.
Luc Mbah a Moute stole the ball from Nowitzki in the lane with 3 seconds left, giving Milwaukee a final chance to win it.
Delfino caught the inbounds pass and drove toward the basket. He couldn't make his shot in the lane over center Erick Dampier as the Mavericks improved to 13-4 this season in games decided by five points or less.
Kidd (personal reasons) and Dampier (left knee) were back in the starting lineup after missing Sunday's game.
Bogut hit all nine of his shots and scored 20 points in the first half.
The Bucks center finally missed on the first possession of the second half when his 8-foot jumper was off, breaking his streak of 14 consecutive made shots.
Bogut is 18 of 20 in his last two games.
NOTES: Nowitzki played in his 883rd career game with the Mavericks to tie former guard Brad Davis on top of the franchise's career list. ... Bucks G Jerry Stackhouse, who played five seasons for the Mavericks, scored nine points in his first game against his former team. ... Original Mavericks owner Don Carter and his wife Linda celebrated their 50th wedding anniversary at the game.