Yes, you have to file two state tax returns.
If you never lived in Colorado in 2022 or worked in Colorado in 2022 then you will have to file a nonresident Colorado state tax return. On the CO return you enter 0 for income received and you should get a refund for all the CO state taxes withheld. Or if you did live or work in Colorado in 2022 then you have to file a part-year resident return for both CO and CA.
