Not at Red Rocks, no. The area is usually crawling with tourists and tour busses. I have been nude up in the Valley of Fire. Just have to park someplace, and hike in a bit. Not that hard to find places where you won't see anyone all day. You might even run across other nudists.
Have also been nude on boats on Lake Mead, and beached on some island and secluded shorline along the lake. Very easy to find secluded places out there.