One simple approach to keep as close to your code as possible is to start off with an empty list called colors before entering your loop, and appending to that all the valid colors as you take inputs. Then, when you are done, you simply use the join method to take that list and make a string with the ':' separators.
colors = []
while True:
color = input("please enter Color of your choice(To exit press No): ")
if color == 'No':
break
else:
colors.append(color)
colors = ':'.join(colors)
print ("colors ", colors)
Demo:
please enter Color of your choice(To exit press No): red
please enter Color of your choice(To exit press No): blue
please enter Color of your choice(To exit press No): green
please enter Color of your choice(To exit press No): orange
please enter Color of your choice(To exit press No): No
colors red:blue:green:orange