If your W-2 shows Colorado income, and you file a Colorado tax return showing zero Colorado income, it's likely that you will get a letter from the Colorado Department of Revenue saying that you did not properly report your income, and billing you for Colorado tax. You will have to reply to the letter with an explanation of what happened. If you can get a letter from the company in Colorado saying that you never actually worked there, that would help to convince the Colorado DOR.
