Karri Ramo made 22 saves before giving way to Joni Ortio for the third period.
Ryan O'Reilly scored for the Avalanche, who fell to 0-4-1 in the preseason. The teams play each other again Tuesday in Calgary.
Jarome Iginla nearly tied the game late in the third when he tried to stuff in the puck, but Ortio's pad kept it out of the net.
With just over two minutes remaining, and Brian McGrattan in the penalty box for delay of game, goalie Semyon Varlamov was pulled for an extra skater, but Colorado couldn't score the tying goal.