The Swedish goalkeeper has been hailed for his game in recent matches - Rangers had two straight wins ahead of Sunday's ice hockey match - but the 37-year-old failed to stand when it was decided in Madison Square Garden.
American Vincent Trocheck outscored Lundqvist in the third round and shot the victory to the guests.
Prior to that, Rangers had had the lead three times during regular time. Chris Kreider put 5-4 in powerplay at the end of the second period but the visitors came back and extended the game after Brian Boyle acknowledged 5-5 just over seven minutes into the third.
In total Henrik Lundqvist stopped 30 of 35 shots.
His Rangers are ranked 12th in the Eastern Conference after 15 games played.