The reason behind the color of the halogens is their ability to absorb different quanta of radiations that lie in the visible region.
This typically results in the excitation of outer electrons to higher energy levels, resulting in different colors.
Because of their low ionisation energy, halogens are coloured, and the electron is excited by absorbing visible light.
The complementary colour is thus imparted to the molecule by the reflected light.
As the atomic radii increase from fluorine to iodine, the energy levels become closer, and low energy light (higher wavelength, i.e. towards red) is absorbed, and colour deepens (complimentary is violet) as one moves down the group.