You said "I just moved to Nevada" and also "I still have Colorado residency now." Those are conflicting statements. If you moved to Nevada you are no longer a Colorado resident. You are a Nevada resident. Owning a rental property in Colorado that you don't live in does not make you a Colorado resident.
It's not clear what you mean by "I make no income on the rental." If the tenant is paying rent, but you do not have a net profit on it, you still have to report the rental income and expenses on your federal and state tax returns. It doesn't matter that the tenant is a friend. The rent on a house in Colorado is Colorado-source income, so you have to report it on a Colorado tax return for the entire year, even after you moved. (I don't know if Colorado allows you to report the resident and nonresident periods on a single return, or if you have to file two separate returns.)
You might want to consult a tax professional in Colorado to make sure you are handling everything correctly.
