My LLC is from Utah, I do all business in Colorado, which state do I file my business return with?

I am using TurboTax Business to create a K-1 for my LLC which I created in Utah. I live in Colorado and do all of my business in Colorado. Besides filing a business return with the Feds, which state do I file a business return with - Utah and/or Colorado?

Side question - why do I need to file any business return with the Feds and State since I file the K-1 with my personal taxes?