There's only bus service. You can ride Greyhound or
Bustang for about $12 each way. But, you also have to consider that Red Rocks is way out in the boonies, about a 30 min drive from downtown Denver. So, if you bus to Denver, you still have to get a shuttle to Red Rocks (about $40 per person, round trip) or Lyft. And then, by the time the show gets out at 10-11 PM, there are no buses back to CO Springs, so you either need to get a hotel or Lyft all the way back.
You could Lyft directly from CO Springs to Red Rocks, but using the fare estimator, it said that was about $115 one-way.