You can request to have your Colorado refund deposited into your bank account. However, if your refund can't be deposited for any reason, the state will convert your deposit into a paper check to be mailed.
Unfortunately, if you have already filed your CO return, you cannot change how you elected to receive your refund. If you elected to have your refund check mailed and you have moved, make sure you file a change of address with the USPS.