If you live in the North, this is a familiar annual event. Leaves change color and drop to the ground, covering everything nearby.
But why do trees do this?
It's a matter of efficiency. The trees equivalent of blood is sap and sap gets thick and dense when it gets cold. That means it can't circulate throughout the tree so the tree can't feed itself.
Part of their feeding system is photosynthesis. Trees absorb the sunlight and convert it into food. If the sap isn't running then the food can't be absorbed.
Fortunately trees can go dormant during the cold weather.
Since the leaves are useless at this point the tree will cut off circulation to them. When that happens, the chlorophyll in the leaves dies and now you can see the true color of the leaf. Each tree has a slightly different color to it depending on the variety and the soil conditions as well as the local climate.
Once the leaves die off completely, they drop to the ground.
If the leaves were to stay on the tree over the winter it would cause a few problems. You may not think about this but all those leaves are very heavy. The tree is carrying a lot of weight and if snow were to fall on top of the leaves it would overburden the branches and some would break off.
In addition, the leaves give off a lot of moisture into the air. If this evaporation were to continue over the winter then the tree would become dehydrated and that could kill it.
So enjoy the fall colors and leave your leaves.