Wrap each water chestnut with a piece of bacon. Place the rolls seam-side down in a baking dish.
Bake in the preheated oven for 30 minutes, or until bacon is crisp and cooked through. Drain off the grease. In a small bowl, stir together the mayonnaise, brown sugar and chili sauce; pour over the bacon-chestnut rolls. Return to the oven and bake for another 30 minutes.
