If you're a non-resident of Colorado, and you never physically work in Colorado, then your work income is not subject to Colorado income tax.
If CO taxes were mistakenly withheld from your pay, then you must file a non-resident CO tax return, on which you show the withholding but declare zero CO income, in order to receive a full refund.
Finally, you should request your payroll department to cease withholding CO taxes.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.