This is because the pencil marks can be erased out but the colour marks cannot be easily erased.So we need to draw with pencil first so that if there is any mistake we can rectify it.Such a thing would not be possible in case of colours.
The pencil is can be easily erased but the colour pencil will not and we can do first colour also  but if we are expert  in drawing ,as if are not expert in drawing and we are colouring first the paper on which  we are drawing it will look ugly so its better to draw first with normal  pencil only.