Cody McLeod and Matt Duchene scored 9 seconds apart early in the first period, Jarome Iginla had two assists and the Avalanche beat the slumping Coyotes 5-2 on Monday night.
Gabriel Landeskog, Tyson Barrie and Nick Holden also scored for the Avalanche. Semyon Varlamov faced only five shots through the first two periods before giving way to backup Reto Berra to start the third.
"It was another strong game for us I thought right from the start," Iginla said. "We made some nice plays and had some great chances. We got up and we just kept going for the whole game."
Oliver Ekman-Larsson and Mark Arcobello scored for Arizona, which did not manage a shot on goal in the second period. McKenna made 29 saves in his first start since being recalled from the AHL last Monday.
"It's tough," Arizona coach Dave Tippett said. "You're hoping he can come in there and get us some saves. But we didn't give him much help in front."
The Coyotes have lost four in a row.
McLeod gave Colorado a 1-0 lead 2:54 into the game when he backhanded his own rebound past McKenna for his fifth goal of the season.
The Avalanche won the ensuing faceoff, Zach Redmond sent a stretch pass to Iginla and the veteran winger fed Duchene for a backhander in the slot at 3:03.
"Cody McLeod got a big hit and then a goal to start us off and we were able to score another one right after," Duchene said. "Iggy found me back door. It was a great start for us, the start we wanted and we were able to follow it through pretty much the whole game."
The 9 seconds between Colorado goals tied a club record, accomplished twice before. The last time was Jan. 23, 2002, against Edmonton.
Ekman-Larsson made it 2-1 when his shot from the boards near the top of the zone beat Varlamov at 9:51. It was his team-high 17th goal of the season.
The Avalanche went back ahead by two when Holden scored Colorado's first power-play goal in 12 games. The Avalanche were 0 for 32 and hadn't scored on the man advantage since Holden converted at Florida on Jan. 15.
"We've been working hard at it and we know we're going to need it in the last third of the year," Iginla said. "It's been getting better, we've been moving and it's nice to get that one. Definitely was a big boost tonight, felt good, and now we want to feed off that and keep going."
Barrie and Landeskog scored in the second period to make it 5-1. Arizona, held to a season-low 17 shots, didn't have one on Varlamov in the second period.
"It's frustrating. It's embarrassing," defenseman Keith Yandle said. "It's all those things. To come in here and not be able to get a shot in a period, it's tough. There's nothing more you can say."
It was the first time in franchise history Colorado held an opponent without a shot in a period.
"You have to find a way to be ready always because you never know," Varlamov said. "You can face no shots for 40 minutes and then face 30 in 15 minutes."
Arizona pressured Berra at the start of the third, and Arcobello made it 5-2 with his 10th goal at 2:37. The Coyotes nearly scored again a few minutes later but Berra swept the puck off the goal line before it crossed. He finished with 11 saves.
NOTES: Avalanche C Paul Carey's assist on McLeod's goal was his first NHL point in 17 career games. ... Arizona D Zbynek Michalek was scratched with an upper-body injury. He is day to day. ... Coyotes G Mike Smith was the backup. He did not play because he was sick. ... Redmond had two assists. ... Duchene got his 300th career point.
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