wwh ,

according to Biochemistry by L. Stryer, Fe (iron) while coordinated in heme and supported by hemoglobin (the protein) binds oxygen. "The iron atom in heme can form 6 bonds or coordinate links, which are not identical to valence . 4 of these are in the plane of the heme. The fifth bond is occupied by histidine (amino acid) F8, O2 is bound at the sixth bond"

i must add that (AFAIK) most proteins are colourless and prostetic groups, for example ions are responsible for their colour. see rav's post