Be careful and really review all the potential problems before just cancelling. If they were so inclined, they could file a complaint of discrimination with AirBNB and get you suspended through AirBNB. See AirBNB's policies on this at the links below:
https://www.airbnb.com/help/article/1869/what-is-an-assistance-animal
https://www.airbnb.com/help/article/1405/airbnb-s-nondiscrimination-policy--our-commitment-to-inclus...
I'm going to make an assumption (and you know what they say about assumptions lol) and assume that you are an owner occupied host with 5 rooms or less (if this assumption is wrong, then you may have federal law issues to worry about too). I'm also going to assume that Colorado State law mirrors the ADA (I don't know if it does or not). I'm also going to assume it's a real service animal (for the AirBNB policy part it won't matter as they allow ESAs)
Per the ADA, being an owner occupied with less than 6 rooms (5 or less), you are exempt from having to accept service animals (unless AirBNB counts as a rental management agent, which is still up in the air so for now we'll assume not, but that can change once a case goes through the court, and just about anyone could wind up being that test case).
A lot of renters won't be aware of this clause, so this could be misunderstood by them. However, even putting aside the ADA and Colorado State laws (I'm not sure if they would come into play here or not, check with CO's Disability Resource Center), you still have to deal with AirBNB's policy.
Their policy includes this clause:
"What if I have a health or safety concern related to assistance animals?
It’s important to be aware of the fact that the assistance animal, whether a service animal or emotional support animal, plays an important role in your guest’s ability to travel. However, if your listing includes a shared space and an assistance animal would create a health or safety hazard to you or others (e.g. allergies and pets who are unable to share space with other animals due to a safety concern), we will not require you to host the guests with the assistance animal. Please be clear and polite when communicating with guests about this. We also suggest you include information regarding any allergies or any safety concerns regarding your pets in a shared space in your listing description in order to better inform prospective guests."
However, right below that clause is a link for guests to file a complaint about being turned away, which winds up violating the non-discrimination policy (because of a disability), and results in (at best) you being suspended for a while, while they investigate, and at worst, termination from AirBNB's platform.
There are some cases already where they have taken the guest's side on this (search Service Dog or something similar on this site, and you'll see some examples). Will they side with you? Who knows, but honestly more pressing arguments have been made where they have sided with the guest, so I'm guessing your odds aren't good. Hopefully the guest won't be aware of this, and won't pursue it. But you really do want to review everything and maybe talk with AirBNB in the future before you just cancel on a guest.