Fishing doesn't have to end when the winter season rolls in. Many anglers find icefishing to be a fun way to enjoy to enjoy being outside on a brisk day with the fish swimming below the ice surface. In Colorado, there are many locations where ice fishing is allowed and with reliable reporting on ice thickness for safety. You can check out the Colorado interactive parks map here. The Colorado Parks and Wildlife also has some quick tips before you start walking out onto the ice that you can read here.
Or if you don't want to bust out all the winter gear, then you can always head down to Pueblo and fish the Arkansas River tailwater below Pueblo Reservoir, one of Colorado's best winter fly fishing destinations. You can check out the local TU chapter, The Southern Colorado Greenbacks Trout Unlimited Chapter, if you want to know some of their best Arkansas River fishing tactics and locations.