It isn’t. Many parts of the West have other rock colors – most notably the flood basalts of Montana, Idaho, and Washington, which are black.
You’re probably referring to the [Navajo sandstone](https://en.wikipedia.org/wiki/Navajo_Sandstone), a massive sandstone formation that covers most of the American Southwest in Colorado, Utah, and Arizona. Per wiki, the Navajo sandstone was laid down in a desert in ancient Pangaea, when the western US was flat, low-lying, and very dry. At the time, the environment had giant sand dunes like those of the modern Sahara, and it’s the sand from those dunes that ultimately produced the sandstone. (Of course, that punts the question to why that *sand* was iron-rich, which I don’t have an answer for.)
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