Jonathan Marchessault and Chandler Stephenson scored, and Mark Stone and Jack Eichel each had two assists for Vegas (4-2-0). Logan Thompson made 22 saves.
"You know you got to be ready to go, and that was the disappointing part that they were able to outplay us in our building," Golden Knights coach Bruce Cassidy said. "The things with Colorado, you can't mismanage it. They're too talented and fast."
Nichushkin put the Avalanche ahead 3-1 at 8:10 of the third period with a coast-to-coast goal. After skating through the neutral zone, he deked Brayden McNabb, cut back inside and lifted a shot over Thompson's glove.
Nichushkin has 11 points (six goals, five assists) during his point streak.
"He's found his scoring touch," Bednar said. "Some guys have kind of bounced back, and with the focus and preparation needed are ready to go because they haven't been off the ice long. They didn't have to go through three, four or five months of summer training. They're just kind of back in the groove right away, and he's definitely one of them and has been leading the charge for us."
Stephenson cut it to 3-2 at 10:32 with a one-timer from the low slot.
"The disappointing part was the third period … timely goals right?" Cassidy said. "Happened a little bit in Calgary (3-2 loss on Tuesday) where there's is a little better than ours, and same tonight. They outscored us 2-1 on the [power play], and that ended up being the difference in the game."
MacKinnon put Colorado in front 1-0 at 5:38 of the first period with a one-timer from the top of the left circle on the power play.
