The Royals improved to 28-14, the best record in the majors. The Cardinals still lead the NL Central at 27-16. The game was stopped as Kansas City came to bat in the sixth, and was called after a wait of 70 minutes.
"It's too bad. We had nine outs to work with, down by one run," Cardinals right fielder Randal Grichuk said. "It's tough to go as a loss. We let it slip away."
Volquez (4-3) gave up four hits and walked three. He gave up a run in the second, snapping a streak of 27 consecutive shutout innings by the Royals' rotation.
Gordon homered in the second inning off John Lackey (2-3), improving to 7 for 14 with two home runs in his career against the right-hander.
Eric Hosmer doubled to begin the Kansas City fourth and scored on Salvador Perez's single to give the Royals a 3-1 lead and the Cardinals walked Gordon intentionally.
"I realized it could be a five-inning game," Cardinals manager Mike Matheny said. "That's why we walked Gordon there. Unfortunately, it didn't work out. We had opportunities. That's the story of the game. We loaded the bases twice and we ended up with one run. If we'd gotten more we'd be celebrating this decisions right now."
Matt Carpenter's single in the fifth scored Peter Bourjos for the Cardinals' second run. St. Louis had the bases loaded with one out after Matt Holliday was hit by a pitch, but Volquez induced Peralta to ground into an inning ending double play.
The Cardinals have scored two runs in the three defeats.
"We just scored a whole bunch of runs in New York," Matheny said. "This is baseball. This is what happens. Today we left some things on the table."
HOLLIDAY'S STREAK CONTINUES
Holliday has reached base in 40 consecutive games to start the season. That is the longest streak by a Cardinal since Albert Pujols reached in a record 42 straight to begin the 2008 season.
Cardinals: OF Jason Heyward did not start because of tightness in his hip. ... RHP Lance Lynn suffered back cramps in the first inning in his Friday start, but labored through six innings. "It's the first time this has happened," Lynn said. "We'll get it fixed and get going again."
Royals: 3B Mike Moustakas was removed after four innings with a bruised left collarbone. He was injured on Molina's hard hopper in the second inning. ... Backup C Erik Kratz (left plantar fasciitis) homered Friday for Triple-A Omaha while on a rehab assignment. ... OF Alex Rios (fractured left hand) may begin a minor league rehab assignment in the next few days.
Cardinals: RHP Michael Wacha, who is 6-0, makes his ninth start in the series finale Sunday. He is winless in two career starts against the Royals.
Royals: RHP Yordano Ventura will oppose Wacha. The two squared off last June 3 and Ventura prevailed, giving up two runs and seven hits in six innings in a 3-2 victory.