Preheat oven to 400º F / 200º C. Line a baking sheet with parchment paper.
In a large bowl, combine the chicken and the other ingredients: Colby and Monterey cheese, cream cheese, bell pepper, chopped jalapeno, onion and mushrooms, cumin, salt.
Unroll each pie crust onto a lightly floured surface.
Roll out into a 15-inch / 38 cm circle. Cut out rounds, using a 3-inch cookie cutter.
Use all the dough by re-rolling the dough scraps, making 12 to 15 circles total.
Working with 1 round at a time, lightly brush the edges of the crust with water.
Place 1 heaping spoonful of chicken mixture in the center of the round.
Fold the dough over the filling, pressing the edges with a fork to seal.
Repeat with the remaining rounds and chicken mixture.
Arrange empanadas on the prepared baking sheet.
Bake for 15 minutes.