First off, some caveats. Caucuses are not only notoriously hard to predict with polls, but they also represent a small fraction of the voters, typically the most energized and polarized wings of a party. Colorado's caucuses are closed – open only to registered Republicans – and so don't represent the views of the state's many independent voters.
In fact, in 2008, when Romney did so well in Colorado, it was in part because he appealed to those same voters who likely supported Santorum this year. Romney had positioned himself as the conservative alternative to John McCain; this time around, Romney was the mainstream candidate and the conservative faction of his party went for Santorum.
Turnout this year was low even for a caucus. On Tuesday night in Colorado, about 65,000 people voted – down from 2008, when more than 70,000 voted in the GOP caucuses, and only a small fraction of the state's Republican voters.
"In a caucus where something like 8 percent turnout is considered a huge number, pretty small differences can have an enormous influence on the results," says Seth Masket, a political scientist at the University of Denver. The fact that, on the eve of the caucuses, Santorum suddenly seemed to have a shot may have influenced some Coloradans to get out and vote for him, says Professor Masket.
And, in what now seems to be a mistake on Romney's part, Romney spent relatively little time or money in any of the three states that held contests on Tuesday. Santorum, on the other hand, focused heavily on all three – betting correctly that he would have a better shot there than in Florida or Nevada – and in the week before the caucuses spent a lot of time in Colorado's most conservative and evangelical counties. Clearly, his message connected with some of those voters.