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No best answer has yet been selected by scottmgrace. Once a best answer has been selected, it will be shown here.
For more on marking an answer as the "Best Answer", please visit our FAQ.Broadly right, Sprogglin.
The chlorophyll is not needed once the leaf has died (or more correctly senesced), and the pigment is broken down and scavenged by the plant. Chlorophyll contains magnesium, not iron like haemoglobin nor copper like the blue blood pigment of crustaceans (however all these pigments are very similar in structure -- squiggly bits with a big metal ion in the centre).
However, it is not the chlorophyll breakdown products whch produce the colour, but other, different pigments (mainly carotenes) which are normally concealed by the stronger green of the chlorophyll. It's the same cause for grass going yellow when covered up.
What I didn't answer, now I look at it, was the actual question...
All that was really the how, not the why. Why do some leaves have these pigments, and why are they all different colours? Why are some autumns much more colourful than others? Why do most NW European trees generally go yellow or just brown in autumn, while many in other places (such as New England) have reds and oranges as well?
And the answer is... I don't know -- and there does not seem to be a scientific consensus on it.
One theory which looks promising is that bright colours are a signal to insect predators that the tree has plenty of spare energy to produce toxins -- called the "honest signal" theory, because the pigments themselves take energy to make, and only a tree which really did have plenty of resources could afford to make them. The brightest trees are apparently those which have the most predators.
Another theory is that the pigments are anti-oxidants which help to reduce damage from sunlight and other stresses.
However, this still does not explain why some areas have so many bright trees. Some is down to the weather, which also explains variations between autumns.
I was going to point out that magnesium is present in chlorophyll, and is colourless and cant be oxidised. Which brings me to, since it has a single valency, how does it take part in a redox reaction?
And the second supplementary is, why are some trees deciduous and some not? a botanist suggested that there was an energy calculation that in colder climes it wasnt worth it from an energy point of view. Are there any references? Yeah OK I know I didnt ask the original question but I'd still like to know the answers.