In 1910, after a trip to South Africa, he travelled to British East Africa and bought some land on the western side of the Great Rift Valley near what is now Eldoret. He turned over the investment to a partner and spent his time hunting. In Kenya, Finch Hatton was a close friend of the Hon. Berkeley Cole, an Anglo–Irisharistocrat, born into a prominent Ulster family, who had also settled in the colony. Cole was very well connected in Kenya, being the brother-in-law of Hugh Cholmondeley, 3rd Baron Delamere, the effective leader of the White settlers in the country. In Channel 4's , it was revealed that in 1928 and 1930, Finch Hatton played host to the Prince of Wales, later Edward VIII, in a safari that switched from hunting to photography. This relationship led to Edward VIII's taking up Finch Hatton's causes, such as abandoning the use of cars for hunting safaris, and shifting towards filming big game, wildlife photography, and the founding of the Serengeti National Park.
Relationship with Blixen
Finch Hatton was not known to have had any serious romances before he met Baroness Blixen. They were introduced at the Muthaiga Club on 5 April 1918. Soon afterwards he was assigned to military service in Egypt. On his return to Kenya after the Armistice, he developed a close friendship with Blixen and her Swedish husband, BaronBror von Blixen-Finecke. He left Africa again in 1920 but returned in 1922, investing in a land development company. By this time, Karen Blixen had separated from her husband, and after their divorce in 1925, Finch Hatton moved into her house and began leading safaris for wealthy sportsmen. Among his clients were Marshall Field Jr and Edward, Prince of Wales. According to a highly sympathetic biography of Beryl Markham by author Mary S. Lovell, in 1930 Finch Hatton succumbed to a love affair with Markham, who was working as a race-horse trainer in Nairobi and the surrounding area. Markham had had a series of lovers, both single and married, and she had apparently had an attraction to Finch Hatton for years, but not acted on while Blixen, who gave Markham shelter and support over the years, was most deeply involved with Finch Hatton. During this period, however, he was also still seeing Blixen. Later, she became known as a pioneer flyer herself.
Death
On the morning of 14 May 1931, Finch Hatton's Gypsy Moth took off from Voi Airport, circled the airport twice, then plunged to the ground and burst into flames. Finch Hatton and his Kĩkũyũ servant Kamau were killed. In accordance with his wishes, Finch Hatton was buried in the Ngong Hills, some five miles to the west of the present-day Nairobi National Park. Later, his brother erected an obelisk at the gravesite upon which he placed a simple brass plaque inscribed with Finch Hatton's name, the dates of his birth and death and an extract from Samuel Taylor Coleridge's narrative poem the Rime of the Ancient Mariner: "He prayeth well, who loveth well both man and bird and beast". The co-ordinates of the gravesite are:. According to Out of Africa, there is a memorial plaque on a footbridge at Eton. The bridge is inscribed with the words "Famous in these fields and by his many friends greatly beloved. Denys Finch Hatton 1900–1906"—the dates refer to his attendance at Eton.