The persistent soft X-ray emission at the location of the so-far most luminous supernova (SN), ASASSN-15lh (or SN 2015L), with \(L \sim 10^{42} \rm erg~ s^{-1}\), is puzzling. We show that it can be explained by radiation from the SN-shock accelerated electrons inverse-Compton scattering the intense UV photons. In this interpretation, the circumstellar medium is derived to be a wind (\(n\propto R^{-2}\)) with mass-loss rate of \(\dot M \gtrsim 3 \times10^{-3}M_\odot(v_{\rm w}/10^3 \rm km\,s^{-1}) yr^{-1}\), and the initial velocity of the bulk SN ejecta is \(\lesssim0.03c\). The non-detection in radio is naturally expected due to strong synchrotron self-absorption and free-free absorption in the dense medium. This constraint implies a strong wind ejected just within \(\sim10(v_{\rm w}/10^3 \rm km\,s^{-1})^{-1}\) yrs before the explosion of ASASSN-15lh by its progenitor star.