The Rockies have lost four times in five games on the heels of a stretch in which they had won seven of nine.
Huston Street (0-2) came on in the ninth to try to keep it a tie game, but Quentin led off the inning with a single and moved to third on a base hit by Paul Konerko. Street struck out Alexei Ramirez, but then gave up the fly ball to right by Pierzynski that delivered the winning run.
Brian Bruney (1-0) recorded the final two outs in the eighth inning to get the win. It was only the second career victory for Bruney in 260 relief appearances scattered over eight seasons with four teams. He has never suffered a major league loss.
Sergio Santos struck out two in a perfect ninth for his 16th save.
Pierzynski had an RBI double during Chicago's two-run fourth.