There are places worth looking at if you are close by, but nothing comes to mind as a Colorado "knife Mecca". If you are in Colorado Springs the big store is Specialty Sports and Supplies (a major gun store with the largest selection of new knives in town). They are located on Drennan Road (which runs out of the west side of the airport) where it crosses Academy Blvd (this is the extreme south end of town). If you are interested in sort of reproductions of old west style knives, The Mountain Man on Manitou Ave. in Manitou Springs (on the west side of town) has knives and materials to make your own knives. If you are on the west side of town you have to stop in at Leasures Treasures. They don't sell anything new, but they have a wild collection of militaria and semi-antiques. On the outside it looks like nothing is there, but they have guns, knives, swords etc stacked to the ceiling. Last time I was there it looked like they had an old German MG-34 on the floor. They are at 2801 W. Colorado Av. Across the street is Surplus City that sells knew knives.
It is not a primary knife stop, but you need to see one of the reproductions of Bent's Old Fort. They built a full replica at the original site along the Santa Fe Trail in La Junta, Colorado.
http://www.nps.gov/beol/ I picked up a scalping knife there that is made by the same English company that built the original trade knives. If you can't travel that far south you can get a taste of Bent's Old Fort by visiting The Fort Restaurant, 19192 Highway 8, Morrison, CO (a few miles west of Denver). You can get wild game dinners and drink mint juleppe out of mason jars in a structure modeled after Bent's place. They have a gift shop with some oldish looking knives. The real reason to go there is for the ambience and the food, not the knives.
A trip to Colorado isn't complete unless you swing by Estes Park at the main entrance to Rocky Mountain National Park. This is about a 1.5 hour drive north west of Denver. The valley is simply great, as long as you don't mind the elk wandering all over town. They have one of the nicest independent knife shops in the state there. The town is small enough you can't miss the shop.