That was my thought too. Mantis egg sacks always look like someone spit a big snot-ball and it dried up to me. They are actually kind of delicate. Lots of air spaces inside for insulation.
That looks more like a wasp to me...though I don't usually see them on branches.
Asian mud daubers have been discovered in Colorado — and maybe your garden — but these hunter wasps are more into spiders than you.
www.denverpost.com
Mud daubers are my pals (They will "work" right next to me, hundreds of them, we co-exist well) ... The ones here, nest in the ground or holes in the walls... They don't steal too many leaves.. and only the females take leaves and the men take balls of "dirt", I believe.
I've not seen an external.caccoon for them.. but know they exist.
But I HAVE seen similar objects around mantis heavy prairie areas...
I thought mantis at first, but could DEFINITELY be a cutter/digger wasp.