Most of the remains of Roman buildings that we see today are white, merely because paint decays much faster than the structure of the building which is naturally whitish. Looking at many of the statues, it is well known that they were painted. We're basically looking at history through a black and white camera.
I've tried to find out what were the original colours of the Colosseum but Google search didn't turn up anything.
What were the original colours of the Colosseum? A reasonable guess based on what other similar buildings looked like will also be accepted if no better information is available.