The Saddlers dominated the first half but missed injured striker Jon Macken and looked lightweight in front of goal.
Alex Nicholls sent a volley straight into the hands of Dale keeper Owain Fon Williams in the 25th minute, while teenage striker Will Grigg skied a simple chance high over the bar when Nicholls had teed him up near the penalty spot.
Rochdale improved in the second half and could have nicked the extra points on the break, Matty Done sending a diving header wide from a perfect cross by Gary Jones.
Saddlers `keeper James Walker also made a fine 70th-minute save to deny Jones before he again did well to block a header from Jason Kennedy.
With seven minutes left Aaron Lescott had a fierce drive deflected over the bar, but as time ran out both sides settled for a point.