I moved out of Colorado and withdrew my retirement money that I had in the Colorado Public Employee's Retirement Association, but I did not get a 1099-R. What do I do?

If the withdrawal was made in 2019 then you will receive a Form 1099-R in January 2020.  Make sure that the retirement fund has your correct address.

If the withdrawal was made in 2018 then you need to contact the retirement plan administrator for the Form 1099-R.  Or on the retirement plan website the Form 1099-R may be available on your account.