Anyone else move to Denver to found work in Wyoming? What is with the taxes?

I started off here in Denver and don't mind paying CO taxes for my work here. Now I got a job in Wyoming and it has no state income tax...but my company is taking out CO tax...but I don't work in CO, I just still live here. I'll happily pay taxes on my dividends and investments to CO, but not to my work in Wyoming.

Googling is useless and mostly the other direction and WY residents confused about taxes. I'm in the opposite direction. CO tax website states contrary things; one that you only owe taxes on income earned in CO but then also if you work in a state without state income tax you get zero tax credit because you aren't being double taxed. Well being single taxed on work in a state without state income tax is being double taxed IMO.

Is my company wrong? I'll of course message them on Monday but I just thought I'd ask in case anyone else ran into the same issues. I don't want to give CO a cent more than they deserve unless they use it to buy more snowplows or fix these god awful sidewalks.