Niemi made 25 saves for the Sharks, who have won three in a row after dropping two straight. Ryane Clowe also lit the lamp in the victory.
Peter Budaj allowed four goals on 33 shots for the Avalanche, whose losing streak reached 10 games (0-9-1).
Setoguchi registered two goals in the first period.
The first came 6 1/2 minutes in, when he split two defenders and used a backhand to beat Budaj. His second made it a 2-0 game with five minutes left in the opening period, when he cleaned up a big rebound off the backboards during a power play.
Just over 1 1/2 minutes after Setoguchi’s second goal, Clowe got into the scoring for the Sharks, with a wrister from the left circle on the man advantage.
Following a scoreless second period, Setoguchi completed his hat trick in the third period with a breakaway goal.
Colorado couldn’t get on the board, despite getting 11 shots on net in the middle frame. Niemi then made six saves in the final 20 minutes to preserve the win and his shutout.
The Sharks were 2-for-3 on the power play, while the Avs blanked on three man-advantage chances…San Jose will travel to Detroit on Tuesday to play the Red Wings, who are on a four-game win streak…Colorado will try to break its slump with a matchup in St. Louis on Tuesday.