Because there is a fundamental difference in how they're made: red wines spend more time in contact with grape skins, while white wines don't. Grape skins contain tannins and other compounds that end up in the wine, and humans can perceive these compounds. You might question whether there is enough difference to warrant the perceived difference in flavor, but there are definitely quantitatively measurable differences in composition of typical red and white wines that would lead you to posit that they would taste different.

>Because one is red colored and one is white? So what?

So what depends on why things are different colors. For instance, red velvet cake is just vanilla cake dyed red with food coloring. In that case, there wouldn’t be a difference in taste. On the other end, vanilla bean ice cream has black specks distributed throughout from the contents of the vanilla bean itself. If you substituted black pepper, it might look the same but it would not taste the same. As Niksko explained, red and white wine are different due to differences in ingredients and different processes which impart different flavor and color.