Arenado extended his hitting streak to 28 games with a single in the third inning, but that was one of only five hits the Rockies had against Matt Harrison and four relievers in a 5-0 loss Thursday night.
After 50 hits and outscoring the Rangers 29-5 the previous three nights, Colorado became the last National League team this season to be shut out.
"We've been doing really good the entire year, that stuff is going to happen even to the best clubs in baseball," Rockies cleanup hitter Carlos Gonzalez said. "We just have to put this in the past and show up tomorrow and try to score some runs. The offense was quiet tonight, so sometimes you just have to tip your hat."
Arenado broke the team record he matched Wednesday night, which was teammate Michael Cuddyer's 27-game streak last season. He is halfway to Joe DiMaggio's major-league record of 56 set in 1941.
"My dad was joking around with me saying, 'You've got to get 57 — let's go, let's go.' I was like, 'Yeah, right,'" Arenado said. "My cousin was like, 'Dude, you're halfway!' I'm like, 'Halfway?' I feel like this has been forever. This is unbelievable."
McKenry led off the Colorado seventh with a double, but that inning ended when he was thrown out trying to score on Charlie Blackmon's fly to right field.
After Rios threw home, catcher Robinson Chirinos made a sweep tag. Rockies manager Walt Weiss challenged the call, but the out was confirmed in New York after a review of about two minutes on replays that showed the tag was applied a split-second before McKenry touched the plate with his left hand.
"It was a really close play but I think that's one of those plays where the call on the field is probably going to stand," Weiss said.
The Rockies had the bases loaded in the second before 20-year-old Rangers second baseman Rougned Odor, in his major-league debut, made a nice play to start an inning-ending double play. Odor went to his left to snag a liner with two runners on to end the third.
"Harrison did a good job pitching back and forth with the fastball-changeup combo," Weiss said. "We had some opportunities early and we couldn't get the big hit tonight. We've been winning series, so we'll try to stick to that formula."
It was the majors-best seventh shutout for Texas. ... Rockies 1B Justin Morneau was a late scratch from the starting lineup because of a stiff neck. ... Odor was the youngest player in the Texas League, and at 20 years and 94 days became the youngest to appear in the major leagues this season. ... Martin has a 10-game home hitting streak. ... Blackmon made two errors in left field in the seventh, one fielding and one throwing.