I would guess this is the cocoon of a moth in the subfamily Arctiina in the Erebidae family.
For example, see this example of an Isabella Tiger Moth cocoon in Kent Co., Maryland from The Maryland Biodiversity Project:
Credit: Nancy Martin
You can find additional images of various species here, here, here, and here (seen without the cocoon).
According to here, Pyrrharctia isabella (or the Isabella Tiger Moth shown above) is sometimes found in the Rocky Mountain region of the US, but I am not knowledgeable enough about these pupae to definitively point toward a species.
Based on the experiences of many others, I would advise not touching this with bare hands or clothing.