This is a great question and the answer to this is really good, too. The plant actually absorbs all the chlorophyll which is what makes the leaves green. Smart plants!
There are pigments inside leaves: the green pigment is called Chlorophyl, the orange pigment is called carotene and the yellow pigment is called xanthophyll. Chlorophyll is the pigment reponsible for photosynthesis, the process by which leaves turn light into energy. During winter, there is not enough light or water for photosynthesis. The trees will rest, and live off the food they stored during the summer. They begin to shut down their food-making factories. The green chlorophyll disappears from the leaves. As the bright green fades away, we begin to see yellow and orange colours. Small amounts of these colours have been in the leaves all along. We just can’t see them in the summer, because they are covered up by the green chlorophyll.