The Blues, the No. 4 seed in the Honda West Division, outshot the No. 1 seed Avalanche (32-26) for the first time in the Stanley Cup First Round but failed where it mattered most: on the scoreboard.
St. Louis trails the best-of-7 series and is one loss from a sweep that would be another early playoff exit after winning the Stanley Cup for the first time in 2019.
Game 4 is at St. Louis on Sunday (5 p.m. ET; NBCSN, SN360, TVAS, BSMW, ALT).
"I'm just speaking for myself ... I know I can be a lot better," Blues captain Ryan O'Reilly said. "I have to find a way to put the puck in the net. I had plenty of opportunities and still didn't make enough happen.
"I wish I had the answer and could adjust it, but it's over now and we've got to get ready for the next game. Got to make a difference. It's on us, the guys seeing the big ice, the big minutes. We have to find a way to produce and spark the rest of the group. There's nothing I can do right now. I've got to prepare for the next game and give it everything we have."
RELATED: [Complete Blues vs. Avalanche series coverage]
O'Reilly, who won the Conn Smythe Trophy in 2019 voted as most valuable player of the playoffs, led the Blues in goals (24), even-strength goals (18), and game-winning goals (four) in 56 regular-season games this season.
He has one assist, seven shots on goal and is minus-6 in three postseason games.
O'Reilly had predicted a Blues upset against the Avalanche, who won their last five regular-season games and the Presidents' Trophy, awarded to the NHL team with the best record in the regular season.
O'Reilly said, "We're going to have some fun and we're going to beat them."
Avalanche defenseman Ryan Graves, who celebrated his 26th birthday Friday with three points (one goal, two assists), said he felt the proclamation was motivation.
"I mean, [it motivated us], but at the same time, what do you want him to say?" Graves said. "You want him to say they're going to lose? I mean, we're going in thinking the same thing that they're thinking ... we're going to win.
"It's been a heated series, it's been physical, it's been fun on both sides, honestly. They've played good hockey, and it's been a good test for us and it's far from over. We have some improvements in our game we can still make and we're just trying to get that last one. We know it's going to be really tough."