While Chris' map is technically correct (at least in theory) living as I do in the intermountain western U.S. there are several mountain ranges in all of the western states (with the exception of the coastal states) that are considered to be part of the "Rocky Mountains". Northern Arizona and New Mexico especially.
Here the term "Rocky Mountains" really tend to designate a general principal rather than a truly identifiable range of mountains. While Colorado is the most recognizeable host to the Rockies, one could interview someone living in Denver (on the eastern flank) who would not rate Pike's Peak as being in the Rockies but rather the Sangre de Cristos... while someone living in say, Grand Junction (on the western side of Colorado), would most likely identify with the Wasatch Range that runs into Utah.
In my own area, while the Bear Tooths (not Teeth), Wind River Range, and Big Horns are all, as stated, technically within the Rocky Mountain system, residents don't identify with living in or near the Rockies, but one could identify with living in the shadow of Cloud's Peak in the Big Horns...
Ah, well... slow afternoon here in the "Rockies"...