The statement, which typifies Henrik Lundqvist’s competitive nature and will to win, came as the Rangers gathered in the locker room after the second period Saturday night, trailing the Colorado Avalanche by a goal with their goaltender on the brink of a major milestone: 400 wins.

“He just said: ‘There’s no way we’re going to lose this game,’ ’’ Derek Stepan recalled. “That’s the kind of leadership I’ve seen so many times over the years.”

And with that in mind, the Rangers scored three times for a 4-2 victory.

Lundqvist (32 saves) stopped all 17 shots in the third to make the night even more memorable and emotional than just a victory that extended the Rangers’ winning streak to five games and completed a sweep of a four-game homestand.

When Lundqvist, who will be 35 next month, was announced as the game’s first star, he waved to the standing, cheering fans — some of whom held signs with “400,” “No. 30” and “Thanks, Hank” — and acknowledged them by tapping his heart.

“I’m just really proud and really thankful for the opportunity,” he said about becoming the 12th member of a very select club. “This organization means so much to me. I will definitely enjoy this tonight and reflect a little bit. I had a lot of good teammates and you think back to them because they’re part of it as well.

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“That last couple minutes, you hear the crowd, you get goosebumps. It was like my first game here 12 years ago, when they chanted my name. At times it feels surreal that you’re in that moment, that you’re here and playing, and at times you look at it as your job because you don’t want to complicate it. I’ve had so much fun here over the years. When you win here, at MSG, the crowd is really into it and it’s just the best feeling. That’s why you go to work every morning.”

The Rangers, fittingly wearing dark blue heritage jerseys that they often wear for special occasions, erased the one-goal lead quickly in the third, playing with authority and speed.

Kevin Klein’s second goal of the game zipped over Calvin Pickard’s shoulder to forge a 2-2 tie at 2:50. Klein also had blasted a slap shot through a kneeling Pickard to open the scoring at 2:26 of the first period. Klein had only one goal entering the game after scoring nine in each of the previous two seasons.

“We knew [400] was going to come,” Klein said. “It was one of those things where [Lundqvist] has been a pillar back there for so many years, that work ethic of his, and how he is just a gamer. But it’s nice to be a part of that.”

A few minutes later, Rick Nash won a battle along the right boards, drove to the net and was denied, but he stayed in front. Stepan found him with a pass that he redirected for his 16th goal and a 3-2 lead at 5:36.

Lundqvist stopped five shots in the next few minutes: Carl Soderberg’s wrister, Mikko Rantanen’s wraparound, Mark Barbiero’s slapper, Matt Nieto’s snap shot and Mikhail Grigorenko’s wrister.

With Pickard pulled for the extra skater, J.T. Miller blocked a pass and found Michael Grabner, who looked around and passed to Kevin Hayes, who scored an empty-netter with 1:38 left.

That was when Lundqvist knew he was about to become the 12th goaltender to reach 400 wins — in 727 games, the fastest in history — and the second to earn all of his first 400 with the same franchise, joining the Devils’ Martin Brodeur.

“We believe in each other,’ Lundqvist said. “We believe we can really raise our game when we really have to.”