Short question. The short answer is, because they dye it pink.
Actually pink is the brand colour for Owens Corning Fibreglass. Yellow is the brand name colour for John's Mansfield. Blue is the brand colour for Dow Chemical's Styrofoam. Even the word "Styrofoam" is a brand name that belongs to Dow. There exist no "styrofoam coffee cups", only "polystyrene" coffee cups. Cellulose is the colour of ground up newspaper and cardboard. Some rock wools are bleached to get them white while others just let the colour of the melted rocks show through.
Colour has nothing to do with insulation value.