Winnipeg tied it at 3-3 on a power-play goal midway through the third period by Blake Wheeler, but could not muster a score during the shootout and suffered its second straight loss.
Colorado had dropped two in a row.
Winnipeg took an early 2-0 lead on goals by Wheeler and Michael Frolik, but Colorado came back to go tie it thanks to scores from Matt Duchene and Ryan O'Reilly. Duchene scored again with three seconds left in the middle period to put the Avalanche in front.
Celebrity Families of 2014 [PHOTOS]