Laser diodes are made from a semiconducting material. We have different materials available, and the choice of material determines the colour. We have good working and widely used materials available for red and blue, but not for the space inbetween (green, yellow, cyan, orange). As someone else described, it is relatively easy to produce green from infrared. For the other colours, we do not have materials available for home consumer use. There are some, but they are not in high demand which is why they are not as cheap and widely available.