A colony in antiquity was not the same as what we think of today as a colony, such as the British and French colonies in Africa, which were huge regions that turned into nations. Back then the term meant a settlement - the Greeks founded hundreds of colonies all across the Mediterranean and the Black Sea, but the Romans to a much lesser extent. They usually took over existing cities and romanized them, i.e. built a forum, an amphitheatre etc. They did not necessarily populate them with Romans, but rather introduced the Latin language and Roman customs and "made" the locals Romans. They did found some cities such as Cologne (where the word Colonia is still apparent today), but did not make a habit of it. Generally such colonies were places where army veterans settled and slowly a new town grew up. So I don't think every Roman site outside of Italy can be considered a colony - probably only a few would qualify. Some in North Africa (Algeria, Tunisia) come to mind.