According to the Colder Weather Songfacts, the song tells the tale of a traveling musician who heads back on the road chasing his dreams. In doing so he leaves behind the woman who loves him. Later on, he starts having second thoughts and returns to her but it isn't long before the urge to roam overtakes him again.
She'd trade Colorado if he'd take her with him
Closes the door before the winter lets the cold in,
And wonders if her love is strong enough to make him stay,
She's answered by the tail lights