The stats for the Great Axe of Khorne are Strength D, AP2, Melee, Colossal. "Colossal: A model with this weapon Piles In and fights at Initiative step 1."
Reading the Colossal rule makes it pretty clear. I thought it was the same as Unwieldy, which is slightly different. "Unwieldy: A model attacking with this weapon Piles In and fights at Initiative step 1, unless it is a Monstrous Creature or a Walker."
In the description of Unwieldy, the phrase "A model attacking with this weapon..." means that if you don't use the weapon you are not hit with a penalty. In the Colossal rule, the way it's worded implies that just holding the weapon is enough to slam it with the Initiative penalty.
Thanks for the reply! You made me take a second look at the wording.