Excess moisture during autumn months can cause cacti to hold too much water and suffer freeze damage. Most cacti also change color in winter. This natural occurrence has nothing to do with the plants being sick. As plants become less active and the amount of green chlorophyll decreases, the red, orange and other color pigments show through the pads or stems. Don't mulch cacti for winter protection.
Mulches retain too much moisture.
The only safe ground-level cover is snow. An above ground cover that protects cacti from excess moisture may be helpful for the more difficult ball-type varieties. They do lend a particularly southwestern feel to the garden. For more information, consult the Colorado Cactus and Succulent Society or your favorite nursery or garden center. You also can call the Colorado State University Cooperative Extension office in your county.