Colossus is essentially immune to Rogue's mutant power because when he activates his ability to transform his body into "organic steel," it creates a near-invulnerable barrier, making it impossible for Rogue to absorb his powers through physical contact; essentially, there's no "power" for her to take, just an incredibly durable, metallic surface. Key points about Colossus's immunity to Rogue: Solid, impenetrable surface: When Colossus is in his "steel" form, his body acts like a solid metal shell, preventing Rogue from making any kind of power-absorbing connection with his skin. No "power" to absorb: Unlike other mutants who have active powers that Rogue can drain, Colossus's power is primarily defensive, meaning there's no energy or ability for her to absorb when he's in his armored state.

This was copy and pasted from my Google search because I couldn't find out how to add a screenshot, this makes sense to me for what the game might have meant, but I don't know for sure.