Coloured paper is great for use in art projects. Dyes are soluble and are either absorbed and retained by the substance or chemically combined with it. On the other hand a pigment is a substance that is added to give something, such as paint or ink its color and is usually in powder form that is added to the liquid to be coloured.
Pigments are insoluble and impart colour by reflecting and imparting visible light.
Okay enough chemistry. Dyes therefore have the advantage of penetrating the fiber, resulting in a somewhat more flexible and translucent sheet than paper colored with pigment. However, dyed paper will generally fade over time as the chemical elements continue to react to sunlight and oxygen. Natural dyes can be made by crushing plant materials, soaking overnight, boiling, straining, then adding fiber to the colored liquid. Dyes are also available commercially.