What you are describing is essentially a hidden city routing. However, there is an outstanding chance that UA will cancel your return since you did not board the DEN-COS segment.

I haven't used one of these in years, but when I did, I would buy a completely different return ticket. For example I used to travel LAX-DTW on AA, which made an intermediate stop in BNA. This was my destination. The fare was a third of the LAX-BNA non-stop. My return ticket was a BNA-LAX non-stop, on a different record. This made the overall roundtrip cost 2/3's of what it would have been if I bought a LAX-BNA-LAX roundtrip*.


*These were all mid-week fares, no Saturday night, little advance purchase time.