You must file in both states. Your home state of IL can tax all your income, regardless of where you earned it. CO taxes non-residents on any CO-source income. Income earned by work actually performed in CO is CO-source income.
You'll be able to take a credit on your IL return for taxes paid to CO, so you won't be double-taxed.
In TurboTax, you should complete your non-resident CO return before you do your home state IL return, so that the credit flows properly.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
