Because the qualitative experience of colour is generated by the proccessing of data from the eyes in the nervous system - the different colour bands are NOT a property of light itself. It is not certain why the optic system does it this way instead of just specifying the properties of the incoming light quantitatively, but it seems likely that a system which triggers discrete responses at certain thresholds is easier to produce.
the ability of nerves to specify quantitative information is limited. they can only be "on" or "off", so things like the intensity of pain are communicated by the frequency of pulses. However, a nerve can only pulse at a finite rate, setting an upper limit. The lower limit is set by the interval at which seperate pulses indicate seperate "inputs" - making this longer costs "resolution" of sensations in time, so there is a limit on this too.
EDIT - this is giles, but i cba logging out of mark's account, since i'm on his PC anyway.