McAmmond celebrates Rolston's second of the night, which made it a one-goal game in the third.
The Devils were resilient as always, but this time their rally came up short.
Daniel Winnik broke a 2-2 tie in the third period and Zbynek Michalek scored on the power play 1:16 later as New Jersey stumbled, 4-3, Thursday in Phoenix.
Brian Rolston scored twice for Jersey's Team, which fell behind the Coyotes 2-0 in the first period before responding with two goals in the second.
The key sequence occurred in the third, when Winnik snapped the stalemate by redirecting a Vernon Fiddler pass through Martin Brodeur at 11:52. Mark Fraser was called for high-sticking Winnik on the play, giving the Coyotes a power play that Michalek used to make it a 4-2 game at 13:08.
Rolston potted his second of the night with 4:44 left in regulation, but the Devils (32-12-1) couldn't produce the equalizer and saw their road winning streak halted at three.
Brodeur recorded 15 saves and was foiled in his bid for his 30th win by Ilya Bryzgalov, who finished with 31 stops. Brodeur kept it a one-goal game with 3:27 to go, stacking the pads for a highlight-reel save on Petr Prucha's one-timer from the slot.
Travis Zajac collected his fourth goal in five games during the second period, when the Devils outshot Phoenix, 15-1. Jacques Lemaire's squad, which led the Atlantic Division by eight points on Tuesday, now holds a four-point edge on second-place Pittsburgh. The Penguins completed an Alberta sweep by beating Edmonton, 3-2, on Thursday.
"The first period, I understand they got two goals, but we talked about what they were doing well, which was driving to the net," Lemaire said. "We had to expect the puck there, and we didn't play well on the (first) two goals. Besides that, I thought we were fine. In the second period, we came back strong, getting two goals and giving them only one shot on net."
The Devils move on to Colorado, where they face the Avalanche on Saturday. They close out the five-game road trip with Monday's visit to the Island.
New Jersey had hoped to build off Tuesday's emotional 1-0 shootout win at Madison Square Garden. Brodeur made a career-high 51 saves for his 107th shutout. The contest was scoreless after 65 minutes despite a record 96 combined shots on goal.
They got off to an impressive start in the desert, outshooting the Coyotes 26-9 through the first 40 minutes. Phoenix, however, survived to end a three-game winless skid (0-2-1).
Phoenix took the lead in the first on goals by Matthew Lombardi and Peter Mueller, whose breakaway tally came with just 31 seconds remaining in the frame.
Lombardi redirected Keith Yandle's pass from the top of the crease, sending the puck underneath Brodeur at 13:16. Later, Mueller chipped the puck past Colin White at the left point and raced down the right side to make it a two-goal lead at 19:29.
The Devils drew a 26-second two-man advantage at 5:17 of the second period, but a hooking call on Zajac wiped out all but 14 seconds. New Jersey finished 0-for-3 on the power play.
Rolston ended a 10-game goal drought with his 14th of the year to cut the deficit in half. Rod Pelley's long-range pass found Rolston alone at the Phoenix blueline, and he drove in for a forehand shot past Bryzgalov's right arm at 9:31.
Zajac continued his surge, netting his 13th at 14:06 to even the game, 2-2. Fraser kept the puck at the right point, allowing Zach Parise to set up Zajac's 13th of the year – a rocket from the edge of the left circle.
With the assist, Parise notched his 300th career point in his 371st game, matching Petr Sykora as the third fastest Devil to do so.
After Winnik had made it 3-2, Fraser headed to the box for two minutes on a high-sticking charge. Michalek's blast from the point on the power play restored the Coyotes' two-goal lead.
Rolston's 15th was originally credited to Dean McAmmond, who appeared to get a stick on Rolston's shot on the way in. Rolston had corralled a loose puck at the left point, just inside the blue line, then turned and fired on goal at 15:16. It was left wing's third two-goal effort of the season and first since Nov. 28.
The last meeting between the teams was a 5-2 win for the Devils at New Jersey last March 12. … Mike Mottau's next game will represent his 200th with New Jersey. … Devils slip to 4-4-1 against the West.
1 - 0 PHX
2 - 0 PHX
2 - 1 PHX
2 - 2 Tie
3 - 2 PHX
4 - 2 PHX
4 - 3 PHX