Mikko Rantanen's wrist shot from the top of the left face-off circle off a pass from Nathan MacKinnon on a counterattack made it 2-0 at 15:28.
"I thought we were going toe-to-toe with them, but they've got some firepower and they can turn the game at the flick of a switch," Coyotes forward Hudson Fasching said. "You're playing really well with them, and then they get two quick [goals] and it's hard to bounce back from that."
Rantanen leads the Avalanche with 18 goals and has 11 points (six goals, five assists) during a six-game point streak. He leads the NHL with 10 goals in March. MacKinnon has 10 points (four goals, six assists) during his six-game streak.
"I don't go into the game thinking about how I have to score. Usually it doesn't happen if you think about it that way," Rantanen said. "I try to play the right way, and now we're getting bounces -- myself and as a team, too -- but I think we earned it."
Nazem Kadri redirected Andre Burakovsky's shot for a 3-0 lead at 11:44 of the second after Coyotes forward Christian Fischer blocked a Jacob MacDonald shot, only to have the puck rebound to Burakovsky.
Ekman-Larsson scored on the power play at 16:19 of the third to bring the Coyotes within 3-1.
Donskoi scored twice in the final 2:32, into an empty net at 17:28 to make it 4-1, and with 11 seconds remaining for the 5-1 final. Donskoi has eight points (four goals, four assists) during a five-game point streak.
"I was just trying to get out of the way [of Jost's shot]. I didn't want to block it, so it just hit my skate and went in," Donskoi said of his second goal. "I didn't want to steal a goal from `Josty' there."