Denniston constructed partial difference sets (PDSs) with the parameters $(2^{3m}, (2^{m+r} - 2^m + 2^r)(2^m-1), 2^m-2^r+(2^{m+r}-2^m+2^r)(2^r-2), (2^{m+r}-2^m+2^r)(2^r-1))$ in elementary abelian groups of order $2^{3m}$ for all $m \geq 2, 1 \leq r < m$. These correspond to maximal arcs in Desarguesian projective planes of even order. In this paper, we show that - although maximal arcs do not exist in Desarguesian projective planes of odd order - PDSs with the Denniston parameters $(p^{3m}, (p^{m+r} - p^m + p^r)(p^m-1), p^m-p^r+(p^{m+r}-p^m+p^r)(p^r-2), (p^{m+r}-p^m+p^r)(p^r-1))$ exist in all elementary abelian groups of order $p^{3m}$ for all $m \geq 2, r \in \{1, m-1\}$ where $p$ is an odd prime, and present a construction. Our approach uses PDSs formed as unions of cyclotomic classes.