Does filing one tax return for multiple LLCs negate asset protection?

[Luke Perrin]

My wife and I own 2 rental properties in Colorado that we are working on getting into LLCs for asset protection purposes. I also have a single member LLC for work. We have a Wyoming LLC owned 50/50 between the two of us that is a holding company for the 3 Colorado LLCs, all owned 100% by the Wyoming LLC. My wife and I file our taxes jointly. Our tax CPA said they can file one tax return with the LLCs being tax-through entities, but they are concerned this may negate the asset protection of the LLCs. I am wondering if filing using Schedule C or E with all of the LLCs on the same tax return will allow for someone to go after all of the assets together if we were to get sued. Any advice would be amazing!