As far as I know, the two are synonymous. They mean the same thing which is a person with whom one works with. Edit: Mukund has your answer.

"Colleague" tends to be used in Europe (the word is sometimes similar in spelling and sound to its local language equivalent) whereas "co-worker" tends to be American. But they mean the same thing in Europe. In the USA, a colleague is usually someone in a profession like medicine or law, whereas in Europe it could be two people who work in the same supermarket.

The words have about the same meaning, but "colleague" is more professional-sounding than "coworker." If we're all secretaries, I would introduce someone from that group as "a coworker." But if we're all teachers or highly skilled engineers, I would introduce someone from that group as "a colleague."