Taylor Pyatt and Lauri Korpikoski both scored for the Coyotes, who have won three straight. Mike Smith made 39 stops in the win.
"My hat goes off to Smith cause he was the one who won the game tonight," said Phoenix head coach Dave Tippett. "He's been great for us this year and I'm real happy for him and with his play."
Ryan O'Reilly scored the lone goal for the Avalanche, who have dropped three of four. Semyon Varlamov gave up three goals on 27 shots in the loss.
"I've not been playing well lately," said Varlamov. "No explanations for it. It's our own rink and we have to play better when we're here."
The first goal of the game went to Phoenix when a bad clearing resulted in a shot from the inside right circle by Derek Morris with Pyatt burying the rebound at the 7:53 mark of the first.
The second period nearly went scoreless, but each team scored in the latter stages.
The Coyotes took a 2-0 lead with 2:03 to play as Vrbata skated into the zone down the left wing and threw a shot on net that hit traffic, but he grabbed his own rebound and buried it.
The Avs, though, answered just 26 seconds later when O'Reilly buried a rebound from the left side for his second goal of the season.
However, Korpikoski got the goal back just 24 seconds into the third with his third goal of the year and Colorado was unable to get any closer before Vrbata sealed the win with an empty-netter with 1:33 to play.
Vrbata has four goals and three assists in his last three games...Phoenix has won six of the last seven against Colorado...The Avs play in Dallas on Friday...Phoenix returns home to play Nashville on Thursday.