Police spokesman Sonny Jackson said investigators don't know what led to Saturday's shooting, The Denver Post reported, and authorities are encouraging anyone who saw the attack to come forward.
"Basically, everybody fled," Jackson said. "That's the problem."
The organizers of the festival canceled Sunday's rally after the shooting.
Witnesses said as many as 10 shots went off around 5 p.m., 40 minutes after attendees celebrated the day by exhaling a large cloud of marijuana smoke.
"It was peaceful; everybody was having fun," witness Laura Forduno said. "And then you heard the shots. Pow, pow, pow, pow."
The two victims were shot in their legs and were rushed to the hospital with non-life-threatening injuries, the Post said.
A bullet also grazed a juvenile victim, who walked to a nearby hospital.
The holiday for marijuana enthusiasts was the first since Colorado voters legalized marijuana for people over 21, the Post said.
The shooting put a damper on the first marijuana vacation tour in the country, which was organized by My 420 Tours.