If the card was in its owner's graveyard: It's owner's hand. (Even if someone steals control of the ability.)
If the card was in its another player's graveyard: Not possible.[CR 400.3]
If the card is elsewhere: The ability can't be activated.
There seems to be a lot of confusion behind this question, so I'm going to cover the scenario in baby steps.
The ability in question is an activated ability.[CR 112.3b]
When can the ability be activated?
Most activated abilities can only be activated when the card or token on which they reside is on the battlefield. That is not the case for Metalwork Colossus's. The ability can only be activated when Metal Colossus is in a graveyard because it tries to move Metal Colossus out of a graveyard.[CR 112.6k]
Who can activate the ability?
Activated abilities of permanents can only be activated by the controller of the permanent. Activated abilities of non-permanents can only be activated by the owner of the object.[Summary of various] That means that Metal Colossus's activated ability can only be activated by its owner.
What does the ability do?
For an activated ability, the words “you” and “your” refer to the player who activated the ability.[CR 109.5]
So, the player that activated Metalwork Colossus's activated ability must be its owner. They become the controller of the ability. Metalwork Colossus is moved to the ability's controller's hand, which is its owner's hand.
What if someone steals control of the ability?
In that situation, the ability instructs Metalwork Colossus to be moved to that player's hand. But the game doesn't let that happen. It still ends up in its owner's hand because the game doesn't allow cards to to the library, graveyard or hand of a person that doesn't own them.[CR 400.3]
112.3b Activated abilities have a cost and an effect. They are written as “[Cost]: [Effect.] [Activation instructions (if any).]” [...]
112.6k An ability whose cost or effect specifies that it moves the object it’s on out of a particular zone functions only in that zone [...]
109.5. The words “you” and “your” on an object refer to the object’s controller, its would-be controller (if a player is attempting to play, cast, or activate it), or its owner (if it has no controller). [...] For an activated ability, this is the player who activated the ability. [...]
400.3. If an object would go to any library, graveyard, or hand other than its owner’s, it goes to its owner’s corresponding zone.