Hejduk also scored twice Monday night against Los Angeles.
Tyler Arnason added a goal, John-Michael Liles had three assists and Brett McLean finished with two assists to help Colorado snap Minnesota's three-game winning streak.
Hejduk's second goal - at 12:40 of the second period - was the first power-play score the Wild have given up on the road this season. Minnesota, with the NHL's top penalty-killing unit, had killed 17 straight power-play chances on the road.
Pavol Demitra scored for Minnesota, and Manny Fernandez made 32 stops.
The Avalanche controlled play in a fairly open first period in building a 2-0 lead. Theodore faced just seven shots.
Hejduk scored off the rebound of Paul Stastny's shot directly in front of the net at 5:02 of the period. Arnason added his fourth goal with 1:32 left, skating through the defence and wristing a shot from the left circle past Fernandez.
The teams traded power-play goals in the second period after Fernandez had kept the game close, stopping Laperriere at the doorstep with the Wild short-handed at 6:15. Moments later, Fernandez gloved Hejduk's backhander.
Demitra drew Minnesota to 2-1 with a power-play goal at 11:44. The goal came off a pass from Todd White that dribbled under Avalanche defenceman Karlis Skrastins' skate.
Colorado answered with a power-play goal of its own on Hejduk's second goal of the game at 12:40. The wrister from the slot went over Fernandez's stick.
Minnesota killed two penalties early in the third period. While its defence kept Colorado in check, its offence produced few opportunities in the final period. The Wild managed two harmless shots while McLean was off for slashing and failed to get a shot on goal with Andrew Brunette in the penalty box for holding.
Laperriere made it 4-1 late in the third period.
Notes: The Wild will play seven of their next 10 games on the road. ... Colorado's Andrew Brunette played in his 300th consecutive game, the fourth longest active streak in the NHL.