Rinne, coming off a 1-0 blanking of San Jose Tuesday, turned aside six shots in the final period for the Predators, who have won two straight games.
The whitewash was third of the season and 28th of the Finnish netminder's career.
Gabriel Bourque, Nick Spaling and Mike Fisher each tallied in the third period for Nashville.
Mike Smith yielded three goals on 29 shots for the Coyotes, whose two-game winning streak was broken.
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