As an active-duty military member, you file a state tax return in your state of legal residence.
The only reason you would have to file a CA return, is if you had non-military income from CA.
If you have already filed a CA tax return, you will have to wait until it is completely processed (payment accepted or refund received) and file an amended CA return as a non-resident with no CA income. Contact Us if you need assistance with the state amendment.
Colorado allows servicemembers who have their official "home of record" as Colorado to maintain Colorado residency without having to pay state income tax. You should file a Colorado tax return and take care to claim the military pay exemption.
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