Mikko Rantanen scored two goals for the Avalanche (34-19-5), who are 7-0-1 in their past eight games.
Colorado has scored first in 16 of its past 19 games, going 13-1-2 in those games.
"Catch up hockey's losing hockey. There's no question," Avalanche coach Jared Bednar said. "[It's] part of the recipe for success, and if you look at our last 16 games, we've scored or we've played with the lead a lot. I think we're currently in the best stretch of hockey we've played this year. It's also the best lineup that we've had all year long."
Adin Hill made 31 saves for the Golden Knights (35-19-6), who had their nine-game point streak end (6-0-3).
"They checked us really well," Vegas coach Bruce Cassidy said. "I thought the difference in the game for us, in the O-zone, we got pushed off pucks pretty much all night. We generated a few slot looks, but we didn't get the second chance from that. If you want to score goals in this league, you got to separate and be hard on it or you got to execute at a high level. Tonight, we did not do that. That was very evident."