I assume you mean team names. If so, there are three: Tampa Bay Lightning, Minnesota Wild, and Colorado Avalanche.
Everyone always forgets that, Montreal Candien does not end in S either.
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In Major League Baseball, there are two: the Chicago White Sox and the Boston Red Sox.
In the National Hockey League, there are three: the Tampa Bay Lightning, Minnesota Wild, and Colorado Avalanche.
In the National Basketball Association, there are four: the Miami Heat, Orlando Magic, Utah Jazz, and Oklahoma City Thunder.
There are no American professional football teams whose names do not end in 's'.
Only two teams have names that don't end in "s". Those are the Red Sox and the White Sox.