Colored sheets might not turn yellow, but they have their own problems. One big issue with colored sheets is their tendency to bleach. Face and hair products are a big cause of bleaching. Acne medication is particularly notorious for leaving white spots on colored sheets and pillowcases overnight (dark colors are especially susceptible). Colored sheets are also subject to fading over time, as each wash takes away a tiny bit of dye. With all these issues, colored sheets might last a little longer than white sheets, but not so much longer that you should purchase colors over whites. Just go with whatever you prefer.