Lack a local team. The surrounding states are full of baseball fans that are still Yankee and Red Sox fans, because they don't have a local team to root for.
Live along the Rocky Mountains. The Rocky Mountains extend much farther than just Colorado and Wyoming, making the "Rockies" applicable to a much larger fanbase.
Live in the Mountain Time Zone. These same states all fall in the Mountain Time Zone, for optimal broadcast viewing times. They share this time zone with only one other team, the Arizona Diamondbacks.