I'm actually not sure, but I do it all the time. I wouldn't do it during hunting season. The only dead head that I know is illegal for you to possess without first having inspected and sealed is bighorn sheep.
I haven't heard or read if you can do that yet in Colorado. I know of a real nice 6x6 bull skull and antlers that was confinscated at the USFS building in Minturn, Co. a few years ago. One of the workers had brought it out and it was in front of one of the employe housing houses.
Arizona I believe is the same as Colorado.
Now I do know that in Utah if you find one you need to get the gps location of it and report it to the DOW and then they will check it out and if all is well they will issue you a permit to have it. That doesn't do you any good when you find it down in the bottom of some nameless canyon that you don't want to hike back into but at least if you want it that bad you can get it.
As I sit and glass, which is common for hunters out west, I have sort of quickly discovered something I never learned when I was younger.
In my youth I had enthusiasm and spirit. In my middle to advancing years I have creaky knees, arthritis, and I tire more easily than I used to. Where I used to sit on the cold hard ground I now look for that soft spot to sooth my tired muscles. That leads me to my tip.
Carry your soft spot with you!
In my pack I carry an air filled, ultralight, camping pad....