Marleau netted two first-period power play goals to become the first player to achieve the feat since the Ottawa Senators' Cy Denneny in the NHL's inaugural 1917-18 season.
Already the league leader in goals, Marleau struck twice in 80 seconds against the Avalanche to take his total to eight in the first four games.
"I'll take them as they come, trying to do the same thing, trying to work and going to those same areas," he said. "My line mates have been playing great, too."
Asked if he had been hoping for a hat trick in one of those two-goal games, Marleau replied: "It'd be nice, but I'm not going to get greedy."
The Sharks center also picked up an assist on Joe Thornton's second-period power play goal to give him 11 points this season.
"I don't know if he can keep scoring two goals every night, but he can keep his play up the way it's been," Sharks coach Todd McLellan said.
"He's been skating extremely well. A ton of confidence. He's prepared to shoot the puck. He's engaged physically. It's a great reward for him. He came focused to play."
Both of Marleau's goals came after a big hit on Avalanche captain Gabriel Landeskog by Sharks defenseman Brad Stuart.
Avalanche defenseman Ryan O'Byrne confronted Stuart after the hit and a long fight followed.
O'Byrne received 19 penalty minutes, including a 10-minute misconduct. Stuart was penalized five minutes for fighting.
Landeskog missed the rest of the first period before returning for the second.
Rookie defenseman Matt Irwin delivered the Sharks' other goal, also in the second period.
Sharks netminder Thomas Greiss had 24 saves in his first start of the season to record his first NHL shutout.
"I always had to make just the first save and they took care of the rest," Greiss said. "Blocked a lot of shots, too. Made my life pretty easy today."
The Avalanche (2-2), who had won two in a row before the Saturday's game, fell to their ninth consecutive defeat on San Jose ice.