Jarry made 26 saves. He is 3-2-0 in six starts since goalie Matt Murray sustained a lower-body injury against the Philadelphia Flyers on Nov. 27.
Colorado (14-13-2) has won two straight games after losing its previous four (0-4-0).
"Great effort from all of our guys," Avalanche coach Jared Bednar said. "They're the champs and we're not there yet, but I think it's a big test for us. It's a test. You want to try and step up and play your best. … You know you have to show up when you're playing Pittsburgh. Otherwise, you're going to get embarrassed."
Pittsburgh (16-13-3) lost three of five games (2-3-0) on its season-long homestand. It has lost its past two games and three of its past four after winning four straight from Nov. 25 to Dec. 2.
Despite the loss, Penguins coach Mike Sullivan was more complimentary of Pittsburgh's effort than he was Saturday, when he criticized its poor start in a 4-3 loss to the Toronto Maple Leafs. The Penguins allowed three first-period goals in that game.
"We're disappointed we didn't get the result, but there were a lot of things I liked about the game," Sullivan said. "We established a lot of offensive zone time. The power play wasn't quite as sharp as it's been, but that's going to happen over the course of 80-plus games.
"We've got to find ways to find success 5-on-5. We just couldn't find the back of the net tonight."
The Avalanche seemed to take a 1-0 lead when Nathan MacKinnon fought through Kris Letang inside the blue line before going backhand to forehand through Jarry's five-hole at 15:56 of the first period. The goal was disallowed following a coach's challenge, where the play was ruled offside.
Despite getting outshot 13-6 in a scoreless first, Colorado might have had the best scoring chance when MacKinnon took three wrist shots from just outside of the Penguins crease between 8:48 and 8:50. Jarry stopped the first and third, and Letang blocked the second.
Jarry made another impressive save at 10:35 of the second period, after he turned the puck over to Comeau, who passed to Carl Soderberg with Jarry retreating to his crease. Jarry made a glove save on Soderberg's wrist shot to keep the game 0-0.
The Avalanche had another chance in the second period when J.T. Compher stole the puck from Sidney Crosby during a Penguins power play. Compher went on a breakaway, but Jarry made a blocker save on his snap shot at 18:37.
