I don't think we'll ever know for sure, but I suspect his GQ comment was an ironic comment. It's important to remember that, on camera or in print, he's always in character mode: Stephen Colbert (kole-bear). When he's not playing this character, he's Steve Colbert (kole-bert).
Really? I could have sworn that his out-of-character interviews on NPR that I've heard used the "bear" pronunciation.
He may have went by "kole bear" on NPR because that's his identity as an entertainer... But I'm pretty sure off camera he goes by "kole bert". You'll sometimes hear him slip up on the show and refer to himself as "kole bert". And in the episode he talked about his dad, he pronounced his name as "kole bert".