You must manually allocate your income. Arizona income is what was actually paid to you when you were living in Arizona (including bank interest, investments, and so on). Colorado income is income earned while living in Colorado. Turbotax might try and guess based on your W-2s but it won't know how to allocate other types of income, and it might be wrong about the W-2s depending on when you moved and when you were paid.
That being said, the states often need to know what your total income was, even though they will only actually tax the in-state income (California is the same way).
