In the scenes depicting Walter Mitty's real life, the author hardly mentions colour. He prefers to show the bleakness of Walter life through what he does and how he thinks.
When Walter is not dreaming he is either trudging through slush or too busy thinking about the mistakes he may or may not have made to notice his surroundings. When he does notice something it is because someone like his wife or the parking attendant has called him on a mistake he has made. Even when he's waiting outside the drugstore for his wife, it begins to rain and sleet.
In comparison, his dreams are full of colour. In his opening daydream "a heavily braided white cap is pulled down rakishly over one cold grey eye" and the commander's voice is compared to ice breaking. In other dreams, people turn pale, and are "craven figures." The instruments, tools and weapons he uses glisten and shine.
Thurber doesn't just use color to emphasise the difference between his life and his dreams. Walter's dreams are full of sound and action as well. In his dreams for example, "war thundered and whined" while in his real life a revolving door makes a "faintly derisive whistling sound." The vibrancy of his fantasy world serves to highlight just how boring and depressing his real life is.