Neil Warnock's men were completely out of luck in the first half when they hit the woodwork three times in the space of five minutes, but they were outplayed by injury-hit Doncaster after the interval.
Palace played the better football at the start and Johannes Ertl was left unmarked to head against the post following a free-kick from Nick Carle in the 21st minute.
Neil Danns cut inside from the left to slam a low shot from the edge of the box which hit the foot of the post to compound Palace's misfortune.
Rovers' on-loan teenage striker Kazenga LuaLua should have had a penalty in the 24th minute when he robbed Matt Lawrence of possession only to be brought down from behind by Nathaniel Clyne.
But to the amazement of the home fans. referee Anthony Taylor waved away the irate Doncaster appeals for a spot-kick.
But it was Palace who were out of luck again in the 26th minute when Danns dribbled through to set up Anthony Stokes, who cut inside James Chambers on the left and hit the post again with a low shot that had Neil Sullivan beaten.
But it was Doncaster who snatched the lead on the stroke of half-time when a well-worked move led to outstanding skipper Richie Wellens and Martin Woods combining to leave Dean Shiels with a simple chance to slot home his first goal for the club from close range.
Shiels had been denied by Palace keeper Julian Speroni moments earlier, but there was no stopping Doncaster in the second half.
Teenage substitute Waide Fairhurst produced an intelligent pass on his league debut to leave James Hayter in the clear and he hammered the ball home from close range in the 75th minute.
It could have been worse for Palace but Speroni produced a brilliant save to deny Woods four minutes from time.