They did. Russia had fur trading colonies in Alaska starting in the 1740s until the 1860s when it was sold to the USA.

When they first "discovered" Alaska they traded for some otter furs and later found out how valuable they were. Over the this time span Russia set up forts reaching down into California to protect their fur trade.

Russian America (Russian: Русская Америка, Russkaya Amerika) was the name of Russian colonial possessions in the Americas from 1733 to 1867 that today is the US state of Alaska, Aleutian Islands, Alexander Archipelago and settlements farther south in California, Fort Ross, Fort Elizabeth (on the island of Kauaʻi in Hawaiʻi) Also, Dalian, Lyuyshunkou, Guangdong, Kwantung area, Liaodong Peninsula in China. Sagallo, Russia's African Colony, in present-day Djibouti.

I think we need to keep in perspective just how BIG Siberia is, and that whole Asian steppe is in general. Remember that Russia also expanded south into Central Asia (the 'Great Game' as it were). But expanding into and populating Central Asia and Siberia took a lot of resources and offered the same sorts of opportunities that other colonial nations looked to first the Americas and then Africa and Asia for. In addition, Russia also continued to expand westwards during the 18th and 19th centuries so was not exactly standing still expansion wise. I'd say that characterizing Russia as a colonial nation in the same vein as the UK or France would be perfectly accurate, and indeed, most of the former eastern bloc refers to them as such as well.