Why would you call colocation "building your own data center"? You could call it "colocation" or "renting space in a data center". What are you building? You're racking. Can you say what you mean?
They usually don’t say they are building their own datacenter, though. It is different to say something like, “our website runs in our datacenter” than saying you built a datacenter. You would still say, “at our office buildings”, even if you are only renting a few offices in an office park.