Goaltender Mike Smith, who was making his 12th consecutive start between the pipes, saved a wrister from the point off the stick of Mats Zuccarello with 7:34 remaining in the third period, but the play didn't end there.
Trying to screen the puck, Rangers center Derick Brassard was standing directly to Smith's left at the time of the shot and failed to stay on his feet after the save. Brassard appeared to fall awkwardly onto Smith's right leg, causing the netminder to immediate fall back into his crease in tremendous pain.
Smith was forced to leave the game and had to be helped off the ice as he made his way to the locker room.
The Coyotes officially announced it as a lower-body injury, though the severity was not known directly following the overtime loss.
"He's being evaluated now," Coyotes head coach Dave Tippett told reporters. "We'll find out more later on tonight. It's a tough situation. He jumped in there, but I'd like to see us be a little cleaner in front of him. But it is what it is."
In 12 starts since the Olympic break, Smith was 7-4-1 with a .924 save percentage.
Thomas Greiss, Smith's back-up, is scheduled to start for Phoenix Tuesday in Pittsburgh.