A generator that isn't jetted for altitude will run at high altitude. However, it will run less efficiently then one that is jetted. It will run rich, risk fouling plugs quicker, risk clogging the spark arrestor, and use more gas than one is correctly jetted for altitude.
The 3% loss in power output for every 1000 ft gain in altitude assumes the carb is jetted properly. Not rejetting for altitude will increase those losses.
The only time you don't need to rejet is if you are lucky enough to have a fuel injected generator.
By the way the lowest point in Colorado is 3,315 feet above sea level.