Trees change color because they are taking back the green chlorophyll, leaving behind only the yellow/orange/red pigments behind. It’s part of the process of going dormant for winter.

It is expensive for trees to operate in the winter in temperate climates. There’s less sun to use, there’s less water available since trees can’t access water that’s frozen solid. To keep leaves working through the winter, trees would need to produce something to prevent freezing and continuously repair damage while getting a reduced benefit from the leaves. Keeping leaves is also a risk when there’s snow or freezing rain because the leaves catch the precipitation and that can cause the tree to break if the load becomes too heavy.

Pine trees and other evergreens get around this problem with a combination of different adaptations. The needle shaped leaves lose less water and catch less snow. The branches are arranged in a way that lets snow roll off more easily. The sap has components that serve as antifreeze. Combined, these let evergreens keep operating through the winter.

Deciduous trees instead maximize efficiency in the warmer months and go dormant through the winter. Deciduous tree leaves and branches maximize the amount of sun they get with big flat leaves and branches that spread far from the trunk and as high up as possible. This lets deciduous trees take full advantage of the sun’s energy when it’s strongest.

Hypothesis, the water present in the leaves would be extremely susceptible to the freeze thaw cycle, causing them to burst and explode during the winter. It would be much more difficult to repair that damage than it is for a tree to bud out new leaves.