Bicycle lockers are usually in outdoor locations near railway stations and the like where people may want to store bicycles securely. They are often banked together, with individual lockers shaped like an isosceles triangle for efficient and compact storage of a bicycle. This triangular shape permits the lockers to be grouped either in a radial pattern (with the sharpest points of the lockers together), or in a row in alternating orientations.
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.
Perforated lockers are similar to the standard types of locker, but the door and walls are made largely or entirely of perforated steel, with hundreds of holes creating a strong mesh arranged in a diagonal pattern. This is used where good ventilation is required, or where, for security reasons, it is necessary that the contents can be examined visually while the doors are locked.
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.