Colorado is located in the interior region of the United States of America. Since the state is far from any large (oceans, seas, or Great Lakes) bodies of water it maintains a cool and generally dry climate. Since there are no large bodies of water to moderate the temperatures, there are large day to night changes in temperature. And there are large seasonal swings in temperature (ie. Hot summers and Cold winters). Being far from any large bodies of water also produces a dry (low humidity) climate.
Since the state is far from a large body of water, the mountains stay generally cool because there are no large bodies of water to mitigate the temperatures. Also humidity is quite low which favors rapid evaporation (and dry skin!). Low humidity and rapid evaporation also creates relatively comfortable feeling temperatures even on “hot” days.