Having shipped three first half goals against York in last weekend's 3-2 home defeat, Dale repeated the feat for a second successive match.
George Donnelly should have headed them ahead when Bobby Grant picked him out with a measured cross, the frontman directing his effort wide of the upright.
And the hosts paid the price in the 24th minute when John O'Flynn's header was fortuitously deflected into the path of Pat Baldwin, who stroked the ball past Josh Lillis from eight yards.
Three minutes late it was 2-0. There was more than a hint of offside when Jamie Cureton collected the ball on the right and crossed for O'Flynn to convert from close range, Rochdale's protestations to referee Jeremy Simpson dismissed out of hand.
Exeter's third goal was down to poor defending from the hosts. Lillis failed to cut out Craig Woodman's cross from the left and O'Flynn had the simple task
of running the ball into an empty net.
Terry Gornell pulled one back for the hosts in the 67th minute and headed home Andrew Tutte's cross in time added on,
but was then sent off for kicking out at former Dale defender Kevin Amankwaah as the attempted comeback fell short again.