MacKinnon gave Colorado a 1-0 lead at 13:13 of the first period when he carried the puck to the net undefended on a power play and scored on a backhand.
MacKinnon's shot on a 3-on-2 break got by Vejmelka and Rantanen swept it into the net at 10:49 of the second period to make it 2-0.
Nazem Kadri pushed it to 3-0 at 12:11 after Andre Burakovsky stole defenseman Ilya Lyubushkin's pass from beyond the goal line and fed Kadri in front.
Rantanen stole the puck from Clayton Keller to start a 2-on-1 and scored from the lower left circle for a 4-0 lead at 14:30, Colorado's third goal in 3:41.
"I thought we had a lot of really good players, from the goaltender on out, which is nice," Bednar said. "We started getting turnovers and helping the offense."
Arizona has been outscored 48-15 in the second period.
"It's been an issue for us," Stillman said. "I think what happens is sometimes we might overstay our shifts. We're not changing when we should, we're putting the pucks in the wrong areas. And when you do that, you play in your zone."
MacKinnon scored at 19:39 of the third period for the 5-0 final.
Kuemper had 10 shutouts in four seasons with the Coyotes.
"I think it was in everyone's mind, but we really didn't talk about it," Rantanen said of the goalie's return to Arizona. "I think he enjoyed it. It's probably a nice feeling to get the shutout against his old team, and I'm happy for him."
NOTES:Coyotes coach Andre Tourigny (COVID-19 protocol) missed his third game. Phil Housley and Stillman coached the team. … The Avalanche are 8-1-1 against the Coyotes the past two seasons. … Avalanche defenseman Ryan Murray (upper body), injured Friday, did not play. … Avalanche defenseman Cale Makar has scored eight points (two goals, six assists) during a five-game point streak.