You can have many kolega
's, not only from work, but also from school, neighbourhood etc.
But you can have just a couple of przyjaciel'
s. Definitely przyjaciel
means something more than a co-worker or a guy from the same class. It's a person you can trust and share your secrets.
The other matter is that, I think, we rather say while introducing "To jest mój kolega
..." than "To jest mój przyjaciel..."
So if we were a close friends and you would call me a 'kolega' I wouldn't be touched, however if we were just co-workers and you would call me 'przyjaciel
' I would think something is not ok here