It is later revealed due to a causal loop, the Colt went in the possession of Daniel Elkins, the owner of the gun at the beginning of the series, due to the actions of the Winchesters. When the Winchesters travel to 1861, they meet Samuel Colt, from whom Sam gets the Colt, and Dean uses it to kill a phoenix, as they need its ashes. Dean drops the Colt just before being transported back to the present day, where it is presumably retrieved by the saloon owner Elkins, the ancestor of Daniel Elkins.