You can be friends with a colleague and also not hang out outside of work. And obviously in life you'll be closer with some co-workers than others, so it's useful to have the distinction of someone being a 'work friend'.

'Colleague' just refers to someone you work with who is of the same rank as you, and probably on the same team. It's closer to 'teammate' or 'peer' than it is to "workmate you have a friendly relationship with". You can dislike a colleague, and you can also barely talk to or really know a colleague.