Sale left the game with a 3-2 lead, but the Rockies rallied against Boston's bullpen to win 5-4 in the 11th.
Sale became the first pitcher in major league history to fan 17 in a start of no more than seven innings.
Afterward, Sale and manager Alex Cora seemed comfortable saying the skipper made the right call.
"AC's got two handshakes, and you get one or the other. And you know which one is the 'done' one,'' Sale said. "I'd love to have gone back out there, but as I said, I'll never question anything he does.''
Said Cora: "That was fun to watch. First time I've been in something like that, you know, watching the strikeouts and watching the pitch count. We wanted him to go deep. He was amazing.''
The big league record for strikeouts in nine innings is 20, done five times. Roger Clemens did it twice for Boston, Kerry Wood and Randy Johnson also accomplished the feat, and Max Scherzer was the last to do it, in 2016.
Sale surpassed his previous best of 15 strikeouts, dominating the Rockies with a firm fastball and a sharp slider. He struck out the first six batters and fanned eight through three innings. He didn't allow a runner until Mark Reynolds doubled to lead off the fifth inning.
The All-Star lefty sported his signature short-sleeves despite the 44-degree temperature at the start of the game and had a shutout through six innings. Nolan Arenado's two-run homer in the seventh was one of only three hits the Rockies managed against Sale.
Sale stopped the damage there with three straight strikeouts, placing him within range of the major league record of 20 in nine innings.
Boston fans chanted "We want Sale!" after the bottom of the seventh, but his night was done, although it did not appear to be by choice. When manager Alex Cora told him he was coming out, Sale used his fingers to form the number 20.
Boston pitchers combined to strike out 24, but the Red Sox had their five-game winning streak come to an end.
"You never know what's going to happen. So I think all of us who were here tonight witnessed two walks, 24 strikeouts, but a Rockie win,'' Rockies manager Bud Black said. "We just stayed at it. Man, it was a hell of a game.''
Sale, who isn't the most cheerful guy in the clubhouse even after a win, couldn't help but smile a little after this one.
"I love this game, and to be able to have a chance at doing something like that is special,'' Sale said. "But at the same time, it's still a close game. You've got a job to do, and you just try to hold it down when you can.''
Sale's 17 strikeouts are the most by any pitcher in a game since Scherzer struck out 20 on May 11, 2016, against Detroit, and the most by a Red Sox pitcher since Pedro Martinez had 17 in 2000.
In his previous outing Wednesday against the Baltimore Orioles, Sale had 14 strikeouts in eight innings. He is the first pitcher to record at least 14 strikeouts in consecutive starts since Clayton Kershaw in 2015 (Aug. 28-Sept. 2).
It's the second time in Sale's career that he has recorded at least 14 strikeouts in consecutive starts (also done in 2015). He's the third Red Sox pitcher in the live ball era (since 1920) to do so, joining Pedro Martinez, who did it three times, and Roger Clemens, who did it twice.
The Associated Press contributed to this report.