The game ended with a score of 5:2.
Sidney Crosby, Jake Gunzel, Jeff Carter, who scored a brace, and Brian Rust scored for the winners.
Penguins Russian forward Evgeni Malkin scored an assist.
Colorado got goals from Jaytie Comper and Devon Toews.
Russian Avalanche goaltender Alexander Georgiev stopped 40 of 44 shots on goal.
Pittsburgh has 80 points and is in eighth place in the Eastern Conference. Colorado is in fifth position in the Western Conference with 88 points.
Earlier it was reported that two-time Stanley Cup finalist and Winner of the Bill Masterton Trophy Brian Boyle ended his career as a player at the age of 38.