They are words, and words themselves don't have physical properties like color. We use pronouns to stand in for nouns, so we might talk about the color of *something* that a pronoun refers to, but not the pronoun itself.
For example, if we say "The blue car is fast," we could replace "the blue car" with a pronoun like "it." The pronoun "it" doesn't have a color, but it refers to the blue car.