IANAL, but here are the relevant Colorado laws:
A landlord shall, within one month after the termination of a lease or surrender and acceptance of the premises, whichever occurs last, return to the tenant the full security deposit deposited with the landlord by the tenant, unless the lease agreement specifies a longer period of time, but not to exceed sixty days.
So, it must be returned within 30 days (unless the lease says more, up to 60 days).
The landlord is deemed to have complied with this section by mailing said statement and any payment required to the last known address of the tenant.
While it does not say you must mail, it lists that as a specific, acceptable example. It does not say check vs. cash either, but I would assume check would be the more preferred method. Finally, it doesn't say that you must accept a new forwarding address, the law states that the "last known address" is acceptable.
As a result, it looks like Colorado takes a pretty open stance on this: as long as the landlord can prove they acted in good faith, they have complied with the laws.
If I were you, I would send via "Certified Mail" as this comes with a receipt that it was received, but if you can prove a postmark date it seems that would be sufficient. In addition, if the Certified Mail is received, you can sometimes get the name of the person who signed for it. For the $10-15 it usually costs, it's a very good way to CYA without doing anything shady.