Calgary, which went on a season-best 10-2-1 run from Dec. 2-28, dropped to 0-2-1 in its last three after Saturday's 3-1 loss to Northwest Division-leading Vancouver. Iginla, the Flames' top scorer, missed out on a pair of chances to get Calgary back in the game.
He failed to convert his fourth career penalty shot attempt late in the first period, and also misfired on a breakaway with his team down a goal in the second.
"I wanted to go in a little bit slower to change it up," said Iginla, 0-4 career on penalty shots. "I've tried to go in fast, I've tried some different things. I haven't tried everything because I haven't scored yet."
"I'll be thinking about those, no question," he added.
The Flames, who will play nine of their next 13 games on the road, gave up more than two goals Saturday for the first time in 16 games.
The Rangers improved to 4-1-0-1 in their last six with Saturday's 4-1 win at Pittsburgh. Mark Messier assisted on a pair of goals and Jussi Markkanen stopped 40 shots, including a penalty shot, as New York climbed two games above .500.
"If it hadn't been for Jussi, then we probably could have lost the game," Rangers coach Glen Sather said. "He played very well, stopped a couple of breakaways, stopped a penalty shot. He was real sharp."
Messier has two goals and four assists in his last four games. The 42-year-old future Hall of Fame center leads the Rangers with 13 goals.