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Manifestations of dipole-dipole interactions in dilute thermal gases are difficult to sense because of strong inhomogeneous broadening. Recent experiments reported signatures of such interactions in fluorescence detection-based measurements of multiple quantum coherence (MQC) signals, with many characteristic features hitherto unexplained. We develop an original open quantum systems theory of MQC in dilute thermal gases, which allows us to resolve this conundrum. Our theory accounts for the vector character of the atomic dipoles as well as for driving laser pulses of arbitrary strength, includes the far-field coupling between the dipoles, which prevails in dilute ensembles, and effectively incorporates atomic motion via a disorder average. We show that collective decay processes -- which were ignored in previous treatments employing the electrostatic form of dipolar interactions -- play a key role in the emergence of MQC signals.