That's a great question, and one I don't think is particularly well understood. You'd figure there must be some evolutionary benefit conferred by the various colors mushrooms choose, but I don't think the issue has been widely considered. (I also think the whole idea of it being a choice, whether conscious or boiled down through evolution, might be a misnomer - many colors could be pure chance).

I do know of some investigation into other apparently extraneous fungal traits. Take bio-luminescence for instance. Lots of people guessed at what it could possibly be for and some scientists documented an increase in spore dispersing insects visiting those fungi when they were lit up at night.

I can imagine, in some cases, maybe many cases, the color has to do, somehow, with the mushrooms overall goal to survive and procreate - perhaps luring specific spore-dispersing foragers, perhaps even people for instance. I can also imagine that in some circumstances, perhaps many, the mushroom's color is a happenstance result of the complex chemical processes which define the lifecycle of each individual fungus.

Presumably, though, everything is subject to a certain amount of evolutionary pressure, so it's probably safe to assume that the various colorations have either served a positive or neutral evolutionary influence. That would just be a guess though.