Pavel Buchnevich scored twice for the Blues (27-31-5), who have lost eight of nine (1-6-2). Jordan Binnington made 21 saves in his seventh straight loss (0-5-2).
"We couldn't find the back of the net tonight, and I think that tells the story," St. Louis coach Craig Berube said. "We had tons of chances, breakaways, power plays. Give credit to their goalie too. He was sharp."
The Blues were 0-for-5 on the power play, including a two-man advantage lasting 1:16 that began late in the second period with Arizona leading 2-1.
"That was definitely a turning point," Berube said. "If we're coming in tied to start the third, we've got the momentum. Just some crazy bounces the other way against us."
St. Louis' power play is 2-for-35 over the past nine games.
"We have to find out something with the power play," Buchnevich said. "We're not connecting. It's not working. It's not one game, it's two weeks, it's three weeks."