Jean-Louis Akpa Akpro and Gary Jones booked the League One outfit a place in the third round with a goal in each half on Tuesday night.
After Saturday's victory at Everton, losing to Rochdale at a quarter-full Loftus Road has delivered a timely reality check to Rangers.
Rochdale, who have made a poor start to their League One campaign, will draw encouragement from a determined display and fully deserved their passage into the next round.
QPR boss Neil Warnock showed his regard for the competition by making eight changes to the side that prevailed at Goodison Park with only Adel Taarabt, Bradley Orr and Matthew Connolly surviving.
And his new-look team made the worst possible start when they slipped behind with just four minutes on the clock.
Jones directed a wonderful pass into the box which was met by Ashley Grimes but the midfielder's shot was kept out by keeper Brian Murphy. Forward Akpa Akpro had tracked the move, however, and popped up at the far post to slide home the rebound.
The bright opening by Rochdale, who gave a first start to on-loan Dutch defender Pim Balkestein, continued when Nicky Adams weaved his way into the box only to fire a tame shot at Murphy.
QPR then took control, Connolly threatening with a fine effort that was parried to safety by David Lucas.
Akpa Akpro continued to look dangerous as he dashed into the QPR box from his wide-left position.
Rochdale produced a slick interchange of passing as they finished the first half strongly.
But their hearts were in their mouths in stoppage time when Connolly forced Lucas to spring into action to save a vicious shot.
Danny Shittu almost got on the end of a sharp cross as QPR made a lively start to the second half and moments later Taarabt fired wide.
Murphy then came to the rescue when Jason Kennedy marauded into the box and unleashed a shot.
Beautiful footwork from Taarabt on the edge of the area bamboozled the Rochdale defence but there was too much weight on his final pass to Jay Bothroyd.
Shittu was lucky not concede a penalty when he tugged at the shirt of Grimes as the visitors probed in search of a second goal.
Substitute Michael Harriman blasted a shot straight at Lucas as QPR's play began to take on greater urgency.
The hosts dominated possession in the later stages but it was Rochdale who struck the telling blow.
Adams picked out Jones and the veteran midfielder chipped the ball over the advancing Murphy for a wonderfully-taken goal.