On an RTD train, yes. RTD had a no-weapons policy, but that seems to been invalidated with the CU ruling and now they're part of Colorado again.
On AmTrak, only in checked luggage. AmTrak thinks they're just like a bankrupt version of an airline.
If there are any other passenger lines in Colorado, I don't know. Unless there are special federal rules for touristy lines like the Durango-Silverton or the Georgetown Loop I'd assume that they're just like the rest of Colorado.

