Headley suffered the injury trying to field a ball hit to his left by Troy Tulowitzki to start the second inning. He couldn't get to the ball, which was ruled a hit. Headley then limped a little before staying in the game.
"I started to stand up and rolled my ankle," Headley said. "I've done it a lot before, but this time it kind of bothered me."
Headley was later charged with an error in the third inning when he was unable to make a play on a ball hit to him by Ty Wigginton.
Jorge Cantu came on in the bottom of the fourth to replace Headley in the lineup and at third base.
After the game, Headley had his ankle wrapped. He was hopeful that he won't miss much time because of the injury.
"It appears to be mild because it didn't swell up," Headley said. "Hopefully it's just a day or so."