+++ COLOUR +++
The colour white has very little ties or links with other colours in the colour wheel (since it is actually a shade, and not a colour), therefore, it is said that this colour represents those who stand on their own, or independence. The colour white also symbolizes innocence, purity, virginity, spirituality, as well as faith. In Asian cultures, the colour white is a symbol of death and mourning, as opposed to the Western tradition of the colour black.
Utena's innocence, purity and faith are all very much implied by the colour of her rose which is inserted in her breast pocket before each duel. Because the colour white also represents independence, it can also be used as a tool of some sorts, foreshadowing her eventual end.
Utena is also associated with another colour (although rather briefly), pink, which is a reflection of her pink hair. The colour pink is associated with a tendency to act on impulse and also represents immaturity.
The last statement about immaturity is very true in Utena's case since she is so innocent that she still remains as child in this world. Throughout the tv series/the movie/the manga, we watch her character going through the pain of adolescence, which is really her journey to becoming a mature being that is aware of how the world works. It should also be noted that during her re-match against Touga, her rose is coloured pink. This is most likely to indicate her status as a regular girl, just like any other at Ohtori. Once she defeats Touga and becomes the Victor once more, she reverts back to her "true" nature and her rose in all the following duels is coloured white again.
Thanks to Star for pointing out the importance of the pink rose.
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