It is taxable by both states.
If the unemployment compensation is "attributable to employment in Colorado" it is taxable by Colorado, even if you are a non-resident of Colorado when you receive it.
Page 28, https://www.sos.state.co.us/CCR/GenerateRulePdf.do?ruleVersionId=10063&fileName=1%20CCR%20201-2%20%2...
If you received the unemployment compensation as a Michigan resident, it is also taxable by Michigan. Michigan residents are taxed on all their income regardless of its source, unless specifically exempted by Michigan law. But you'll be able to claim a credit on your MI tax return for the tax paid to CO on that income, so you won't be double-taxed.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
