Milwaukee managed to get Ryan Braun to the plate as a pinch-hitter trailing by one.
When Jason Grilli got him to hit a harmless fly ball to right, the Brewers' best chance to win probably ended along with the eighth inning and the Pirates went on to beat them 6-5 Sunday.
"It's tough to lose but I really do like the way we played," Roenicke said. "I thought it was a good ball game. A lot of home runs hit today. A lot of just-missed home runs. They just did a little better job."
Milwaukee got a solo homer from Brooks Conrad in the ninth against Joel Hanrahan, but Clint Barmes had given the Pirates some cushion with a solo homer in the top half of the inning.
Pinch-hitter George Kottaras walked before Norichika Aoki hit into a game-ending double play, giving Hanrahan his 14th save.
Andrew McCutchen and Garrett Jones hit consecutive homers and James McDonald struck out eight and won for the third time in four starts.
"He's a good pitcher. He's got a fastball with a lot of movement on it and he's got a great curveball. He mixes in the slider and changeup," Roenicke said.
McDonald (5-2) held the Brewers to four hits and a walk, and only one of the three runs he allowed was earned. He pitched out of a jam in the sixth inning, then departed after throwing 100 pitches.
"It was a big moment for my team in the sixth and I was able to bump my chest and slow myself down and get out of that inning because I wasn't very sharp today," McDonald said.
He gave up a run for the first time after 13 scoreless innings, ending the longest scoreless run by a Pirates pitcher this season.
Barmes hit a solo shot off John Axford in the ninth that extended the Pirates' lead to 6-4.
Martin Maldonado, called up earlier this week to replace injured catcher Jonathan Lucroy, hit a solo shot in the seventh for his first major league home run, and got Milwaukee within one.
McDonald led off the fifth inning with a single, and scored on McCutchen's homer. Jones later made it 4-2 Pirates by homering for the second day in a row.
Rod Barajas added a solo homer in the top of the sixth.
Brewers starter Michael Fiers (1-1) gave up four runs and eight hits with eight strikeouts and a walk in five innings in his second big league start.
"I think everybody fought hard but I don't think you play for moral victories at this level," Braun said. "Whoever is in there we need to find a way to compete and try to win games. Certainly we played well today, just not quite well enough to get the victory."
Nyjer Morgan homered for the second time in three days for Milwaukee, after ending a streak of 138 plate appearances without a homer -- or RBI -- to start the season on Friday night.
With two outs in the first, Taylor Green hit an RBI double and Rickie Weeks singled in a run against McDonald, who struck out Cody Ransom to end the inning.
He retired 14 straight batters before Morgan hit a solo home run with one out in the sixth inning to cut the Pirates lead to 5-3.
Morgan's solo homer in the first inning Friday night snapped his major league record of 138 consecutive plate appearances without an RBI to start a season.
Barmes hit an RBI single in the second to get Pittsburgh on the board.
The Brewers scored two unearned runs off of McDonald in the first when Morgan reached on an error, stole second, and scored on Taylor Green's double. Rickie Weeks followed with a run-scoring single.
Braun pinch-hit for Ransom with runners on first and second in the eighth after he was out of the lineup for a second consecutive day after aggravating a right Achilles tendon injury and hurting his right hip sliding into second base on Friday night.
The Brewers were without third baseman Aramis Ramirez, who left Saturday night's game with a strained left quadriceps. Green got the start at third Sunday.
The Brewers have the day off Monday.