1. The metal has some coating on it such as a protective clear varnish and this is burning off.
2. The metal has oxide on the surface and when heated the oxide is chemically changed somehow, so you see a colour change. It is very common for most metals to be coated with a very thin film of the oxide of that metal from exposure to air.
3. Similarly, by heating, it could cause the metal to oxidize (react with oxygen in the air) so that a film of oxide appears on the metal with heat.
4. If the metal is pure, the colour could be a result of a change in the "molecular energy state" of the metal so that it reflects light at a different colour.