If you haven't been to that part of the world, I highly recommend you ride though southern Utah. Las Vegas has good flight connections, and bike rentals AFAIK.
You could do a great week working your way across Utah (Zion, Bryce, Capital Reef, Canyonlands, Arches), and dip down to Monument Valley and Grand Canyon, loop back to Vegas. Southwestern Colorado is also amazing, highly recommended if you have the time.
However, Feb/March might be a little early for this (and definitely too early for Colorado), since a lot of it is at pretty high elevation. So either delay or consider a different base, like Phoenix for example. You could stay in the lower desert areas where the weather will be warmer (but you'll run into a lot of Canadians, eh). I don't know a lot about southern AZ, so I'll let someone else chime in. Have fun.