It’s all about connectivity-
The Universe, was, at one time, altogether, as one concentrated mass, a singularity. 

“Mankind is connected in ways it does not understand.”  —Mitch Albom

From a physical perspective, the brain is wired for associations. And we, are all connected- to each other biologically, to the Earth chemically, to the rest of the Universe atomically, and to our own selves neurologically.

“At night I dream of colour. Some dreams I dream in colour. My colour dreams I REMEMBER.” —Derek Jarman

In this world, we are connected to the subconscious mind-
The topic of how our brains work when we sleep and dream was encountered, and studies have shown that the stage of REM sleep is pivotal in the processing of salient and emotional waking-life experiences and contributes to the emotional memory consolidation. Also, neuroimaging studies showed that the processes that regulate dreaming in sleep mentation share similar neural substrates of those controlling emotions during wakefulness. REM dream experience, as a fascinating condition linked to emotional processes and the human inner world, is often reported to be colored, emotional, and perceptually vivid.

The colored dreams are a way of your subconscious mind to communicate with your conscious mind coming from somewhere deep inside us, a really honest place.