I don't know whether sweetbreads are on the regular menu, but you might check Le Mistral in Greenwood Village and ask whether they would order them for you if you make a reservation.
I'm not sure exactly what the classic French preparation is but I did enjoy the sweetbreads at twelverestaurant a couple months back and it appears they still have it on their menu (since they change/update their menu on a monthly basis). I'd probably start there?
