There are mechanisms to transfer your probation to another jurisdiction. Your probation officer IS NOT the final answer on this. When they are being unreasonable, you or your lawyer can ask the court to grant a change in the terms of your probation including moving to another state.
I don't practice in CO, but the procedure may depend on what kind of probation -- felony/supervised, misdemeanor/unsupervised. If the latter, the only thing you'll have to do is arrange completion of any affirmative terms of probation. If the former, then you'll need to work in out with your P.O., but there are definitely mechanisms in place.
Edward J. Blum
You need to ask your probation officer for a transfer under the interstate compact. If your probation officer will not facilitate your transfer, you need to write a letter (file a motion) to the judge, explaining the situation and asking for a hearing. The judge makes the final decision and can order the probation department to either apply for your transfer under the interstate compact or change your probation to unsupervised and to an amount of time so that no interstate compact approval is required for you to move. If you are otherwise in compliance with probation (meaning no drinking, etc.) and are out of work with no money to pay for fines and classes, etc., most judges will let you move. Beware though. If you move and get changed to unsupervised, the burden will be on you to provide the court with proof of completion as you finish your classes, useful public service, etc. If you don't follow up with the court to make sure that your payments are properly credited and your proof of completion is filed, the court will issue a warrant for you in Colorado that will ultimately revoke your license in Colorado and cause you all sorts of problems, not the least of which will be getting arrested in Colorado after you thought you had everything finished.