It was a cruel blow for Dale, who deserved at least a point.
Marc-Antoine Fortune gave the home side the lead after 15 minutes, shortly before Keith Keane was shown a straight red card for bringing down the Southend goal scorer.
Jermaine McGlashan was then dismissed for a second yellow card shortly after the half hour mark leaving both sides with ten men.
Calvin Andrew’s deflected effort brought Dale level midway through the second half, and Dale created a host of chances but couldn’t find a second goal.
The sucker punch came in the final minute of three added, when Cox lifted the ball over Conrad Logan and into the far corner to snatch victory for the home side.
It was an unchanged squad for Dale from last weekend’s FA Cup win at Barrow, as they went in search of a seventh consecutive victory.
The opening ten minutes were quiet as both sides tried to find a rhythm. Fortune shot straight at Conrad Logan after cutting inside on to his left foot, before Michael Timlin fired well wide from distance.
The home side opened the scoring in the 15th minute when McGlashan dispossessed Keane as he was facing his own goal. The ball fell to Fortune who kept his composure to round Logan, and send the ball into the empty net.
The situation worsened for Dale seven minutes later when Keane was shown a straight red card. A poor kick from Logan fell to Fortune who threatened to break through on goal, before being brought down by
Keane just outside the area. Referee Rob Lewis bided his time before dismissing Keane and reducing Dale to ten.
The home side were inches away from doubling their lead when Anthony Wordsworth’s resulting free-kick struck the underside of the bar before being cleared from danger.
Steven Davies was replaced by Reuben Noble-Lazarus, who went to left-back, with Joe Rafferty reverting to his more familiar right-back position.
Matthew Lund fired just wide with Dale’s first effort of the game after a nice knockdown from Ian Henderson, whilst at the other end McGlashan shot straight at Logan.
Just after the half hour mark came the second red card of a frantic half, when McGlashan was shown a second yellow card for tripping Henderson as he led a Dale counter attack from a Southend corner.
With the numbers evened, Dale had their best spell of the game so far. Ollie Rathbone was inches away from connecting with a Lund cross from the right, before Callump Camps sent a rasping drive just over the crossbar from 25 yards, with Southend goalkeeper Ted Smith beaten.
As half-time approached, the home side had chances to double their lead. Fortune had an effort from distance beaten away by Logan, before Ryan Leonard curled an effort just wide of the left post.
The best chance fell to Simon Cox deep into stoppage time, when he broke into the right side of the area. However, his powerful effort flew past Logan’s far post.
Nathaniel Mendez-Laing replaced Lund five minutes into the second half with the Northern Ireland international already on a booking, and the substitute immediately crossed for Andrew whose header was weak and into the arms of Smith.
Jamie Allen replaced Rathbone just after the hour mark, and it was his introduction which sparked a Dale revival.
Andrew headed a Rafferty corner just wide of the far post, before Allen’s dipping effort forced Smith into a save, although he held well.
Then came Dale’s equaliser, a move which began through McGahey as he carried the ball through midfield before finding Andrew on the right. He exchanged passes with Henderson before firing goalwards with his left foot. The effort took a huge deflection and looped over Smith, catching the underside of the crossbar on its way in.
With Keith Hill’s side back on level terms, they were now in the ascendancy and pushing for a second.
Allen played a clever lofted through ball to Mendez-Laing, whose half volley flashed wide. It was then roles reversed a minute later when Mendez-Laing pulled the ball back for Allen, but he scooped over the bar left footed from close range.
Henderson’s shot from a tight angle was beaten away by Smith, before the Southend stopper denied Allen from distance as he held on well to a low effort from range.
Dale, cheered on by 187 travelling supporters, were creating plenty of opportunities but couldn’t find that all important second goal. Allen was inches away from nodding home Mendez-Laing’s cross, which Noble-
Lazarus turned goal wards only to be denied by Smith.
Mendez-Laing was involved again as he played a clever flick through to Allen, but his shot from the edge of the area was straight at Smith.
As the game approached the 90th minute the home side made a late push and carved out a couple of chances of their own. Jason Demetriou’s cross was met acrobatically by Cox who sent his overhead kick over the crossbar.
Former Dale man Atkinson then scooped an effort over the crossbar from Zavon Hines’ pull back, but Atkinson would make amends for his side as he assisted the game winning goal.
Cox and Atkinson exchanged a one-two on the edge of the area, and Cox lofted the ball over the outrushing Logan and into the net at the far post.
There was still time for a late Dale push as Mendez-Laing’s backheel found Henderson, who jinked his way into the area but had an effort cleared off the line in the last action of the game.