Well, where is your feature getting it's color from? You're symbolizing by something, whether the whole feature class or shapefile has one color or different features in the feature class/shapefile have different colors. If you're using one color for all features, then just select all the records in that feature class. That's probably not what you want, so you're symbolizing different features in a feature class with different colors based on values in one or more attribute fields. You'd select red, blue, green, etc. records using the same criteria to you use to symbolize them.
Afaik, there's no way to select directly on the color itself. The color isn't part of the feature class or the feature itself. Maybe you could do it in Python by checking the RGB values, I don't know. I suppose you could add a field called Color, give it the text value 'red', 'blue', etc. and select on that, but that's still an attribute selection and a poor way to go about it. A .lyr file retains the symbology, but I still don't know how you'd select by color.
I apologize if I misunderstand your question, but I don't see any way short of possibly some kind of script (and don't know about that) to do what I think you want. Maybe there is a way and someone else will jump in with a method.
