Lehtonen held the Coyotes scoreless until Radim Vrbata scored on a power play with 16 seconds left in the third period, finishing with 26 saves.
Ray Whitney and Valeri Nichushkin got the goals for the Stars, who improved to 4-1-1 in their last six home games.
Mike Smith stopped 31-of-33 shots for Phoenix, which lost for the second time in three games heading into the Winter Olympics break.
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