Yes, if that income is taxable on your federal return, you can exclude it. If it is non-taxable for whatever reason on your federal return, you can't exclude it on your state return.
Pension and annuity income qualifies for the subtraction only if it is included in your federal taxable income in the same tax year you claim the subtraction. The income must also be one of the income types included in the following table (click link below) and reported on the appropriate line of your federal income tax return.
Colorado - Pension and Annuity subtraction