Thornton, tops on the team with 66 assists and 85 points, sat out Sunday after being knocked out in the second period of Saturday's win over Vancouver by an undisclosed lower body injury. Thornton had played in 398 consecutive games.
He hadn't missed one since Oct. 18, 2005, when he sat out the last of three games because of a back injury.
San Jose (47-19-10) has a four-point lead over Phoenix in the race for the Pacific Division title.
Colorado, the eighth-place team in the West, leads Calgary by four points at the postseason cutoff line.
Setoguchi scored his second of the game when Joe Pavelski's shot bounced off his shin and squirted past goalie Craig Anderson.
Colorado tied it 3-3 with 10:57 left when Peter Mueller scored his second of the game. His slap shot whizzed through Thomas Greiss' pads.
San Jose grabbed a 3-2 lead in the third period when defenseman Dan Boyle caromed a shot off Avalanche defenseman Ruslan Salei with 15:28 remaining.
The Sharks had gotten even at 2 with 1:23 to go in the second when Jed Ortmeyer caught a rebound of a shot by Logan Couture and tapped the puck past Anderson. It was Ortmeyer's eighth of the season and his first since Jan. 23.
Mueller gave Colorado the 1-0 lead with a power-play goal with 7:18 remaining in the second when he put in a rebound. Rookie Matt Duchene earned his 29th assist. He set up two goals and leads NHL rookies with 53 points.
Colorado tied it when Kevin Porter grabbed a rebound of Cody McLeod's and tapped it through Greiss' legs with 18:40 left in the second period.
Setoguchi scored the Sharks' first goal on a power play with 9:09 left in the first.
NOTES: Anderson set a Colorado record for goalies by playing in his 66th game. The previous mark was set by Patrick Roy during the 1997-98 season. ... Sharks C Manny Malhotra was in the lineup despite breaking his nose Saturday against Vancouver.