A lot of bike rides are possible near Colico and around Lake Como in general. Here is a very partial list – and I very much welcome comments and pointers to others!
Several suggestions for mountain bike trips around Colico
Several suggestions for road bike trips around Colico; easy and pleasant ride from Chiavenna to Pian di Spagna.
Several suggestions for tourism road bike trips around Colico
Mountain bike rides in Valtellina, see especially those in Valchiavenna.
Escursione in Bicicletta 1 settembre 2019 Colico, Val Chiavenna e Cascate dell’Acqua Fraggia
Various bike rides around Colico from outdooractive
Le vie del viandante; via Spluga, e.g. here in MTB. Adam’s bike tours organizers MTB and bike tours in the area; anello di Paiedo.
Bike Bernina for bike rental in Valmalenco (and beyond).