You report it in both states. IL can tax a capital gain from the sale of property located in IL. CO can tax ALL your income, regardless of where earned.
You'll be able to take a credit on your CO return for taxes paid to IL, so you won't be double-taxed.
In TurboTax, be sure to complete your non-resident IL return BEFORE you do your home state CO return, so that the credit flows properly.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
