Devils had set their heart on overtaking Steelers at the summit of the EIHL.
And they scored three times in the last six minutes, but even that was not enough, as Sheffield went three points clear at the top.
Aaron Fox's men are good on the road - this was their fifth consecutive away victory.
Sheffield Wednesday injury update on Michael Smith, concerns cooled over defensive pair
Sheffield Wednesday's crucial Lee Gregory update as new signing is ruled out 'for some time'
"They sat behind the ball" - Sunderland boss talks Sheffield Wednesday tactics after Owls win in Carabao Cup
‘One or two wilted’ – Sheffield Wednesday to learn from last year as Darren Moore makes brutally honest transfer admission
Sheffield Wednesday identify two possible striker transfers – meeting to be held to discuss next steps
The victory came despite Steelers' ongoing injury situation - they'd lost Brendan Connolly, Barry Brust and Justin Hodgman, Alex Graham and Andreas Valdix were ill, but Marco Vallerand and Tanner Eberle were on the roster, as was Cole Shudra.
Keaton Ellerby was back from suspension and Vojtech Polak was making his debut.
The South Yorkshire side needed a couple of saves from Rok Stojanovic before taking the lead, Martin Látal netting unassisted with a peculiar goal at 4:25.
Home goalie Mac Carruth had stumbled behind the net, his error led to the puck picked up by Latal who backhand into an unguarded net.
Both sides efficiently defended penalty kills before the first interval.
Ellerby couldn't complete a breakaway chance at 24:16 but he and his defensive colleagues were shutting the back door as Steelers took their opportunities to make it 2-0.
The second strike came from an intelligent pass from Daine Todd to Jonathan Phillips, who had an easy finish, at 30:55.
Jarrod Skalde's team had been shut out for two periods.
They had to find a way past the resolute defence in front of them and almost did at 43.13 when American forward Josh Lammon struck Stojanovic's post.
But Sheffield could handle it.
And at 49:05 new boy Polak tied the match up with the third goal, a trailer on the play, assisted by Vallerand.
There seemed no stopping Sheffield now, with Vallerand popping in a fourth at 52:44, in a four-on-four play.
But two power play goals in 25 seconds ruined the Steeler vibe, with Cole Sanford and Brodie Reid setting up an exciting finale.
Cardiff edged even closer with 53 seconds left, Stephen Dixon reducing the arrears to 4-3 with a shot through Stojanovic's legs.
But John Armstrong's face off win allowed Latal a rink length an empty net with 10 seconds remaining.