Airline fares, as you probably know, are not a good place to find logic.

You might try booking a regular round-trip ticket with a plane change in either of those places, plus a round trip from there to Denver and back. Might be cheaper. Then have your bags short-checked from Dubai to London or Amsterdam (whichever), pick them up and enter the country. Toss the last leg of that ticket. Later, use the first leg of your second ticket to return to Denver and toss the return half of that - or, if you can, save it for later.

Airlines don't like this. It violates their "screw the customer, as long as it maximizes our revenue" rules. If they catch you they can theoretically charge you what the flights you took would have cost on their own, but this doesn't happen to people who don't make a habit of it. Their computers won't catch you, since the second ticket starts well after the first one finishes.

(Customs and immigration folks don't give a fig about airline ticket rules.)