Colour doesn't physically exist
We think that the real world is full of colour, but colour doesn't 'exist' in a physical sense. It is an interpretation, something our brains construct to simplify the huge amount of information our retinas catch in the form of photons. Photons, particles of light, behave like waves with frequencies or wavelengths - not a single one of them is green or blue or red. Our retinas have receptors which catch three narrow ranges of wavelengths of light (these don't even correspond exactly to red, green and blue as many people assume.) In fact, photon wavelengths vary enormously outside the small range which we can see. We don't even see the vast majority of the 'real world'.
Most people find the idea that colour isn't real very hard to accept. So, let me show you.
1. Girl with one blue eye
Professor Akiyoshi Kitaoka of Ritsumeikan University, Japan, created this wonderful illusion. This girl seems to have lost a blue contact from her right eye, but her left eye is clearly blue, isn't it? In fact, it is not. Both eyes are exactly the same shade of grey as the blow up to the right shows. Some people even insist the left eye is bluer in the larger picture, but look at the solid block of grey joining them. If you think it's a trick, cover the surrounding red areas with something, or grab the image into photoshop, or print it out and cut the eyes out to see for yourself.
Even though the photons coming from her left eye are the same colour distribution as those of her right eye, you perceive blue. That blue is as real as any other blue you've ever perceived.