There are a number of European states that didn't have colonies. Most of them are extremely small (e.g. Andorra, Monaco, Luxembourg) or didn't gain their independence until after the age of colonization had ended (e.g. Czechoslovakia, Ireland, Norway). However, there were a few powers whose colonization attempts all failed early on: Austria and Sweden. I'm not sure of any studies comparing them with colonial powers, but I'd think that numerous other differences would confound any attempted contrasts.

What time period are you looking at?