Thornton, tops on the team with 66 assists and 85 points, sat out 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.
"Everyone had to step up. Joe has played every game since he's been here," Setoguchi said. "It's a change we have to adjust to. But we have a pretty deep team up front with our forwards and we were able to get some offense with him out of the lineup."
San Jose's four goals were scored off rebounds, redirects or second chances. Setoguchi scored his second of the game when Joe Pavelski's shot bounced off his shin and squirted past goalie Craig Anderson.
"We've been preaching to get guys going to the net and score the dirty second goals," Setoguchi said. "You always like them to be nice, but they count the same way as pretty ones."
For the first two periods, the Sharks played sloppy hockey but never fell far behind Colorado.
"Greiss made some awful nice saves in the first two periods," Setoguchi said. "And those keep us in the game and we were able to bear down in the third and kept our momentum going."
San Jose has won four straight. The Sharks lead Phoenix by four points in the Pacific Division.
San Jose (47-19-10) could face Colorado (41-27-7) in the first round of the playoffs, if the Avalanche can hang on to eighth place in the Western Conference. They lead Calgary by four points at the postseason cutoff line.
"We came up a little short," Colorado coach Joe Sacco said. "I think if we play like we did tonight down the stretch here, we'll be fine. That's how we have to play, with desperation.
"It's a word that's overused this time of year, but it's true. You could see our guys for the most part were desperate. We just have to keep battling."
Setoguchi scored his second of the game when Pavelski's shot bounced off his shin and squirted past 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.
Greiss made 42 saves in his first game since March 16.
"For a young man that doesn't play on a regular basis and he knows that know," San Jose coach Todd McLellan said. "He made some really good saves. There were moments in the game, the fact that he hasn't played in two weeks showed."
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 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.
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.