Marchessault put Vegas back in front 2-1 at 8:31 with a one-timer off a pass from Reilly Smith on a 2-on-1.
The Golden Knights outshot the Avalanche 15-6 in the first period.
"Vegas is going to come out hard in their building, they always do, they have a fast team," Bednar said. "We didn't manage the puck properly. We had way too many neutral-zone turnovers trying to force passes, too many plays at the blue line that we didn't manage the puck properly."
The Golden Knights played without forwards Max Pacioretty and Mattias Janmark, who were each injured in the loss to the Coyotes on Friday.
"We've had [adversity] all year with injuries and whatnot," Vegas defenseman Brayden McNabb said. "We've handled it well in the past and we're in it again, and we just have to get back to basics. We played a good game, we had chances, and we have to bear down. They get a chance and they put it in the net. It's frustrating, but you put your work boots on, make sure your compete is there, and things will fall into place."