Soak water chestnuts in a bowl with soy sauce for at least 3 hours; drain.

Preheat oven to 350 degrees F (175 degrees C).

Wrap each water chestnut with a piece of bacon; secure with a toothpick and arrange on a shallow baking dish. Repeat with remaining water chestnuts.

Bake in the preheated oven until bacon is crisp, 25 to 35 minutes.

Meanwhile, mix brown sugar, mayonnaise, and chili sauce in a bowl until dipping sauce is smooth. Serve bacon-wrapped water chestnuts with dipping sauce.