Just because they broke no laws does not mean they are not liable in a civil court.
They sold you merchandise with a defective title. They purchased the gun without performing due dilligence in determining the legality of the merchandise. They also are a Federally licensed firearms dealer, and if they are selling stolen guns, they could have their license revoked.
I second that. In the UCC, a version of which Colorado has, there are warranties that are included in every sale of merchandise. But typically, I would suspect one of those warranties could be read to mean the merchandise isn't stolen.
That said, you should consider the implications of doing this, it could make it even more difficult for gun users to get guns because insurance companies raise premiums to defend yet another type of lawsuit that the store can't protect itself against--that is, if the store really can't check if it's stolen, they stop buying used guns or the insurance companies raise premiums.