They do have a CCW license available in Colorado.

http://cbi.state.co.us/ccw/default.asp

•At this time, Colorado Concealed Weapon permits do not meet all the criteria to qualify for an exemption to the background check. That means even if you have a Colorado Concealed Weapon permit you must have a new background check every time you purchase a firearm. Out of state Concealed Weapons permit holders also need a background check to purchase a firearm in Colorado.

So much for that idea...