One of the best predictors of voting patterns in the US is population density. You can see population density by state here. Although this isn't a perfect reflection of how urban a state is (a state with most of their population concentrated in cities could have the same population density as one with their population spread across their state, and the former would likely be more blue than the latter), this gives some indication. Colorado has a population density of 56 people per square mile, while Utah is slightly smaller at 39, and Wyoming has 6. Other factors include religion and how "cosmopolitan" the area is (and by that I mean interaction with other areas, such as being a tourist area).
If you take out the greater Denver area (Denver, Boulder, etc.), and tourist areas such as Aspen, Colorado is quite red. See, for instance, this graphic . The only deeply blue counties are Denver, Boulder, Pitkin (contains Aspen) and San Miguel (contains Telluride, another tourist spot). You can see the locations of these counties here. Teton County in Wyoming also was blue in 2016, likely related to it containing Yellowstone National Park. Other large blue counties Arapahoe, Adams, Jefferson, and Broomfield are in the Denver area, and Larimer contains Fort Collins, another urban area. You can see an aberration in El Paso, being both large and red. This is due to Colorado Springs, a city with military ties that has become a gathering point for conservative Christians (Ted Haggard's megachurch, for instance, is located there). Utah politics are also significantly affected by religion, with the state being dominated by Mormons.
There is a geopolitical feature called the Front Range Urban Corridor that contains such cities as Pueblo (another place that leans blue), Colorado Springs, Denver, Boulder, Fort Collins, and Cheyenne in Wyoming. Running along the eastern edge of the Rockies, it is significantly more urban and Democratic than most of the central US. Most of the support for the Democratic party in Colorado comes from people in this corridor.
Clinton won only a plurality of Colorado votes, 48% to 43%. If we were to take out Denver county votes, the plurality of the rest of the state would go to Trump, 47% to 45%. Take out Denver and Boulder, and Trump would almost get a majority, 49% to 42%. Take out the FRUC counties of Adams, Arapahoe, Boulder, Broomfield, Denver, Douglas, El Paso, Jefferson, Larimer, Pitkin, Pueblo, San Miguel, and Weld, and Trump would have won 51% of the Colorado vote to Clinton's 40%.