Rolston scored the lone goal on a power play late in the second period, knocking in his own rebound after Kari Lehtonen made the initial save.
Midway through the third period, Rolston slammed heavily into the boards while turning up ice after the Thrashers broke up a New Jersey rush. He had to be helped off the ice by two teammates, but it turned out to be merely a sprained ankle.
"He's going to be fine," coach Brent Sutter said. "It's not as bad as we first thought. He went into the board awkward."
Brodeur, second on the career shutout list, picked up his first of the season and is just three away from joining Sawchuk as the only goalies in NHL history to reach the century club. The late Hall of Famer leads with 103.
"It's nice to get one so early in the season," Brodeur said. "You want to win games. The shutouts will come. Every year is different. I just concentrate of winning the next game."
Lehtonen also had a strong game in goal, making 34 saves, but it wasn't enough to prevent the Thrashers from their second straight loss after a 1-0-1 start for new coach John Anderson.
The game was scoreless when Garnet Exelby was called for his second penalty of the second period, sent to the box for roughing.
The Devils took advantage.
Dainius Zubrus had the puck along the boards, then dumped a pass behind the net to Rolston. He popped out front and got off a shot that Lehtonen knocked away, but Rolston swatted in the rebound for his first goal of the young season with 1:03 left in the period.
"It was a good read on his part," Zubrus said. "He got the puck and did the right thing. He took it to the goal."
With a little good fortune, Brodeur made the lead stand up. Jason Williams had a good chance in front, but the Devils goalie made the initial save and blocked a rebound as well. Ron Hainsey got off a blistering shot from the point during an Atlanta power play, but it clanked off the outside of the post.
"We gave up too many chances," Zubrus said. "Marty played great."
The Thrashers pulled Lehtonen in the final minute, but never had a good chance against the defensive-minded Devils, who have allowed just six goals in four games this season.
Brodeur insisted that he's not thinking about milestones.
"You don't want to get nervous," he said. "It's so far away.
When it comes down to it, there will be more emphasis on it."
Despite a third straight loss, the Thrashers were encouraged by their performance.
"I thought collectively it was our best game to date," Anderson said. "We had chances. If we don't have chances, then I'm concerned."
But Brodeur kept getting in the way.
"We had about five good chances and he made some unbelievable saves," Hainsey said. "That's why he's coming up on being the best of all time."
With about 10 minutes left, the Thrashers stepped in front of a pass intended for Rolston breaking clear in front of the net. As he swept into the corner, looking to get back up ice, his skates came out from under him and he crashed feet-first into the boards.
Rolston didn't return after being helped to the locker room, and was on crutches in the locker room afterward.
It was merely a precaution, he said.
"I lost an edge," Rolston said. "We've had it all checked out."
Notes: The Thrashers scratched D Nathan Oystrick and LW Brett Sterling. D Sheldon Brookbank, C Petr Vrana and D Anssi Salmela sat out for the Devils. ... After scoring seven goals in their season opener, the Thrashers have managed only four goals in the three losses. ... The Devils went 1-of-3 on the power play. The Thrashers failed to score five times with the man advantage. ... Atlanta LW Ilya Kovalchuk, a 52-goal scorer last season, was held to one shot on goal.
