The shutout was his first of the season and 10th in the NHL.
"Feels good," Grubauer said. "I think everybody can be proud of themselves, how they played today. As a team, everybody did the right stuff. We have to build on that. This game was the most complete I've seen. We have to make sure we get consistency and move on."
[WATCH: All Sharks vs. Avalanche highlights]
Matt Calvert scored a shorthanded goal for the Avalanche (26-15-6), who won for the first time in five games (1-2-2).
"It was kind of tough for us the last couple games," defenseman Nikita Zadorov said. "We had leads in the third period and we were blowing them, so this is great for our confidence. We have a confident group in here, we know we're a good team, we're going to make plays. We're also good defensively if we buy in (to the system), all of us."
Video: SJS@COL: Calvert scores on shorthanded breakaway
Martin Jones made 34 saves for the Sharks (21-24-4), who have lost the first two of a three-game road trip.
"We didn't skate tonight, and they are a skating team," San Jose forward Evander Kane said. "And if you're not ready to skate, it's going to be tough to beat these guys because they like to break out quick and get the puck in their forwards' hands."
Valeri Nichushkun gave the Avalanche a 1-0 lead 45 seconds into the first period. He skated down the right side, cut inside defenseman Brent Burns, and beat Jones five-hole.
"First shot, first goal, and we kept working and didn't look back," Grubauer said.
Rookie defenseman Cale Makar scored his 10th goal to make it 2-0 with three seconds left in the first. Nazem Kadri won a face-off in the left circle, and Makar shot through a screen from the left point.
"There were spurts, but it was another game where it wasn't a very good start," Sharks coach Bob Boughner said. "We gave up a goal early, we got burned on the outside. You give one up in the first two minutes, you give one up in the last 10 seconds. That's a recipe for disaster against a team like this. You've got to play from behind, and they can play a little more conservative."
Video: SJS@COL: Makar scores to tie team record
Colorado increased the lead to 3-0 at 9:59 of the second period when Ryan Graves scored with a shot from the left point after Vladislav Kamenev won a draw in the left circle.
"It came straight back, and it sat in a perfect spot for me," Graves said. "It was kind of lucky and a nice win by him and fortunate for me. We played well all night, and if you're playing the right way, sometimes the bounces go your way."
Calvert made it 4-0 at 12:42 of the second. He took a pass from Pierre-Edouard Bellemare, skated in alone on Jones, and slid the puck inside the left post while falling to the ice.
"I don't think they had any chance to come back in this game," Zadorov said. "They had a couple power plays, and our (penalty killers) stepped up in a really good way and we got the shorthanded goal."
Video: Grubauer earns Thursday's Pepsi Zero Sugar Shutout
They said it
"I think it's a vicious cycle of getting behind, trying not to make mistakes, not helping the next guy. It's tough to play when you're maybe nervous about making a mistake, thinking about it, the support, the battle. It's just an unacceptable game." -- Sharks defenseman Brent Burns
"Great goaltending, great from the net out, I thought we were good. When we needed the saves, we got them. I thought the [defensemen] did an excellent job on the rush coverage and moved the puck really efficiently, in and out of our zone. And real good commitment by our forwards." -- Avalanche coach Jared Bednar
"It was tough losing so many different ways, but at the end of the day, we're just touching up things. Wins right now matter, but it's the next half that's going to propel us into the [Stanley Cup] Playoffs. At the end of the day, it's good to get the win." -- Avalanche defenseman Cale Makar on their first win in five games
Need to know
Makar's 10th goal matched John-Michael Liles' Avalanche/Quebec Nordiques record for goals by a rookie defenseman (2003-04). Makar did it in his 39th game; it took Liles 79 games. ... Calvert has three shorthanded goals, tied with seven players for the NHL lead. ... Colorado forward J.T. Compher played his 200th NHL game.
Sharks: At the Vancouver Canucks on Saturday (10 p.m. ET; CBC, SN, SN360, SN1, CITY, NBCSCA, NHL.TV)
Avalanche: Host the St. Louis Blues on Saturday (3 p.m. ET; ESPN+, ALT, FS-MW, NHL.TV)
Video: Grubauer, Avalanche shut out Sharks