Wilderness Exchange is within walking distance of Union and they require you leave a bag with them when you go into the store, they may be willing to stash your bag for a few hours. No guarantee on that, but an option if you can't find anything else. They are only open 10am-6pm on Sundays, so you may have to wait around a bit or pick it up early depending on when you get there and will be leaving.
There is a luggage storage service a short one minute walk from Union Station in downtown Denver - LUGDEN. You can make a reservation online - lugden.com, call - (303) 747-5600, or show up as a walk-in. They offer hourly, day, overnight and weekly bag storage. Great place to store your luggage if you're on a layover from Denver International Airport, or going to a concert, or headed to a Rockies game at Coors field and want to enjoy yourself without having to lug your bags around.