I think there are some intangibles in play here. By appearing in states that are nominally hostile, he shows that his effort is not purely mercenary, and after he wins the presidency, he is going to be president of all the people,. even in states that give their electoral votes to the DEM electors.
Also, I don’t know how much it matters WHERE he’s speaking - it’s not like only the people in Colorado are hearing him. People in Nevada, NH, VA, PA and Iowa are tuning in via the internet, just as many of us are (in fact, I’m one of them!).