The Knights have gone 2-3-2 in their last seven games at T-Mobile Arena.
Alex Pietrangelo played a game-high 32:55 in the loss.
Robin Lehner made his first appearance since Dec. 19.
The Golden Knights defeated the Blueshirts in a shootout last month.
Logan Thompson had a strong night, stopping 23 of 26 shots in his first career start.
The Knights face a tough test against a top team in the Western Conference.