It's been illegal in Colorado for quite a while and it's not so much because of big government but water rights that go way way back. Water rights are really complicated around here. The laws are slowly changing and some areas can now legally collect rain water.
And, while it technically is illegal, nobody has ever been prosecuted despite all the rain water collection barrels around here.
I've got three barrels set up and am planning more. The theory behind the laws is that the rain water going down my downspouts is going to go way way down to the aquifer or travel all the way to an irrigation ditch and somehow my moving that water from the downspout area to my gardens is going to somehow affect this.