The U's now enter a crucial period of the season with games against teams around them coming up - and they'll want to win soon to keep pace with those above them.
There was the briefest glimpse of a comeback early in the second period when Gavin Massey smashed one home from distance, but that light was extinguished when Dale quickly restored their three goal advantage.
The game started with both teams having sights on goal, but a quickfire double from the visitors, snaffling up two rebounds, left the U's with work to do, particularly when a third was added from the penalty spot before the break.
From the highs of a dramatic FA Cup win to the lows of heavy home defeat, the U's were left to lick their wounds after Rochdale ran out 4-1 winners at the Weston Homes Community Stadium on Saturday. At the start of the game, series of early corners wear dealt with by Dale, but the third was only cleared as far as George Moncur on the edge of the box, he worked space for a shot but power over placement sent it straight at Conrad Logan.
At the other end a free kick for Dale wide right of Colchester's box was swung in across the face of goal by Michael Rose, Henderson got a glancing header away which Sam Walker dived to save.
David Fox, playing on his birthday, puts Sears through in behind the Dale defence where he drilled a low cross aimed at Healey, but under pressure from Ashley Eastham the ball was cleared away.
On the half hour mark Dale got the opening goal, Cole Kpekawa conceded a soft free kick just outside of the box, again taken by Rose who this time powered his shot low towards the corner, Walker had to parry and Lund first to the rebound, smashed the ball in.
Before Colchester had time to recover Dale had a second, Mathew Done unleashed a shot from outside the box which again Walker could only parry away, this time Vincenti tapped in the rebound.
This time Colchester did respond well as Sanchez Watt drove down the left leaving players in his wake, Sears picked up the ball in the box but Logan was out early to block vitally for Rochdale.
However, Rochdale weren’t done there and struck the woodwork twice in a matter in minutes, first Henderson tried to squeeze in a shot at the near post, Walker got down but only ricocheted the ball off the post.
Next a Dale corner found the head of Henderson, he unchallenged could only knock the ball onto the underside of the bar, before it bounced around the line and out.
Then just before the half time whistle Dale got a penalty as Kaspars Gorkss, on his league debut, slid through Stephen Dawson.
Former U's player Henderson stepped up to fire the shot towards the corner, Walker got a hand to it but unlike last week, the ball still crept into the net after bouncing along the line and eventually in.
A last gasp chance for Colchester in the half ensued with a darting run from Sears before he picked out Healey with a perfect pass, the striker checked onto his left foot but his shot denied by the post.
The half closed out with U’s three down, having been punished for individual errors, with Sean Clohessy and Massey replaced Healey and Elliott Hewitt.
Tony Humes' decision had instant rewards, not for the first time this season, as Massey pulled one back for U’s.
His long ranged effort powered low into the bottom corner, five minutes after the break.
The U’s made another substitute with Macauley Bonne replacing Watt, but Dale soon regained their three goal lead. Another set piece created their fourth with O’Connell heading home.
The momentum U’s had started to build was flushed straight out as the half turned cagey, both teams scrapped for possession with chances in front of goal a rarity.
The U’s top marksman Sears managed to fashion a chance out of very little when the ball fell to him in the box, but his effort was blocked away for a corner.
Goal scorer Massey had a positive half and was by far U’s best outlet in the game, he laid the ball off for Fox outside the box but the shot wasn’t good enough to earn him a birthday goal.
A late pacey break from Massey down the right was the source of U’s next chance too, a squared pass to Sears allowed him to knock it past Logan but take him away from goal, his shot on the turn was saved easily by the recovering keeper.
The final play of the game saw Henderson again strike the woodwork following a corner, Walker had done well to tip the ball up, having also tipped a free kick away which resulted in the corner.
Colchester slid to a fifth consecutive league defeat at the hands of Rochdale, who push themselves closer to the playoff spots.