As an IL resident, you must file an IL return. In the year you moved, you will file as a part year resident and pay tax on all income earned after the date of the move.
Technically, you need to file a CO return to pay tax on the income earned while working there. IL will give you a credit for the tax you pay to CO.
TX doesn't have an income tax.
Do you really need to file a CO return?
Yes, but "nobody" does. See http://money.cnn.com/2013/06/28/pf/taxes/business-traveler-tax-threat/ If you live in a state without an income tax (e.g. TX), while working in CO, it’s more likely you should file in the work states. You can't use the "it all comes out even" rationale for not filing.
