We were a full time resident of az and sold property in co in 2018

You'll need to file a CO nonresident income tax return, for the sale of the CO property, if you were a nonresident of CO and you meet these requirements:

1. You are required to file a federal income tax return, and 
2. You had taxable Colorado-source income. Per CO Department of Revenue  

See How do I file a nonresident state return?