Colorado Parks and Wildlife Says to Leave Shed Antlers Alone
The reason behind not collecting shed antlers during certain months in certain areas is for the benefit of the elk and deer.
According to CPW, this is the hardest time to survive for these animals. If they're being stressed and are constantly on the move to avoid people, they'll deplete all of their fat and die by starvation.
There are certain time periods where picking these up is completely legal. You can see more on when and where the shed antler regulations are in place here.