The colour of a chile pepper is no indication of its heat (usually the smaller the hotter).
When you're at the store in search of some spice to add to your cooking, you'll usually find sauces or raw chili peppers that come in green, red, orange, or yellow. Do you pick a certain color that looks most spicy, and are you aware of the various flavors and colors chili peppers produce at different levels of ripeness? Or do you go for the most convincing label, or are you the kind of chili-fanatic that looks up the Scoville rating? In fact, what you often see at the store is just a small sample of the various colors that chili peppers can come income in. They can also be white, peach, purple, and even shades of brown!
What is the meaning of all these chili colors? When growing, most chili peppers start off green and then turn red, orange, or purple as they ripen. That explains why most types of chili peppers can be found in a range of colors.
Chilli peppers generally get hotter as they ripen, but a lot of varieties are also picked and sold when they are still green and with only mild heat, such as the jalapeño. The ripened red pepper is often exponentially hotter than a younger chili at its green stage. But they also become much sweeter as they ripen, making them more delicious and adding a "smoothness" to their flavor.
Dried chilies are usually completely ripened before drying, and that's why you usually find them in red. There is no "wrong way" on how chili peppers are picked and used, but it's usually determined by local preferences and a history of cultural practice.