So do Californians. I lived in Colorado for many years. My daughter and grandson still do. The winters are brutal and painfully long. The dryness sucks the moisture right out of your body. The political landscape is WAY better than many places, but that is changing, particularly in urban areas, largely due to an influx of Californians (of the liberal persuasion). A popular bumper sicker in Colorado reads: "Don't Californicate Colorado".
On the positive side, the mountains are beautiful, the state has a terrific governor, and it is hard to beat for a person who loves the outdoors. I have to confess that I miss the wonderful whitewater rafting there. If you choose Colorado though, I would recommend a small mountain community, preferably on the western slope, unless you are really into urban chaos, then Denver or Colorado Springs might be for you. A lot of Californians retreat after the first winter though, so let that be fair warning.
It depends a lot on where you live and the altitude. If you choose Mountain towns, the winters can be quite a shock for someone from the lowlands. The dryness is a major plus for those of us that hate the humidity of the lowlands and the coast. But where I live in northern Colorado along the eastern edge of the mountains, we average one fairly large snow storm a year that lasts only a day or two, temperatures in the coldest months usually allow for daytime outdoor activities with only light clothing most of the time (even t-shirts) and rarely get much below 20 at night. The sun shines almost all of the time. And lets face it, there's not a whole lot of places that you can get up in the morning, work your garden, bicycle to work at a high paying job from your home, get off of work and drive 15 minutes to do a quick climb and Rappell on a 300 foot sheer rock cliff, then go to a play at the local theatre followed by fine dining at local restaurants. You could also toss in some hang gliding, skydiving, and water skiing if you wished, or jogging or bicyling on a 12,000 foot high mountain trail. And all in the atmosphere of a small town in the west. And it just gets better from there.
Of course, I'm old. Younger people might prefer the excitement of big cities more, which leads to Denver or Colorado Springs.