The game ended 1-1 after 90 minutes and with no further goals in extra-time Reuben Lameiras sent his spot-kick against the crossbar for the Sky Blues, leaving Calvin Andrew to settle the shoot-out in Dale’s favour.
Dale goalkeeper Josh Lillis made saves from Marcus Tudgay’s header and a free-kick from Coventry skipper Sam Ricketts midway through the first half before Donal McDermott curled a stunning effort past Reice Charles-Cook and into the top corner on the stroke of half-time.
Coventry were the better side after the break and Lillis produced the best save of the night in the 81st minute when he kept out James Maddison’s effort after the substitute had wriggled his way clear of the Dale defence.
But the pressure finally told on Rochdale in the 85th minute as Chris Stokes’ centre was diverted into the bottom corner by Tudgay. The Sky Blues striker was then denied a winning goal when he was ruled offside.
In the first period of extra-time Jamie Allen’s close-range header was parried on the line by Charles-Cook.
Stokes fired into the side-netting after robbing Peter Vincenti following the turnaround, while Allen struck a post with a 20-yard volley for the home side.