In ConTeXt mkii you need to specify \setupcolors[state=start]. If on the other hand, you are using ConTeXt mkiv, and want to specify a color for the margin, it must be set in the options of said margin, or else it will reset to default. So the margin is set with \setupinmargin[color=red]
The example that follows is with whatever color you want in the document, while keeping the page numbering color.
The second option, which I assume that based in your comment is what you want, will let you specify the color for the whole document.
The third option is with ConTeXt mkiv.
The fourth option is with ConTeXt mkiv in which the margin is set throughout the document by \setupinmargin[line=13]
The fifth example will show you that footnotes are also possible.
In the following, we will use ConTeXt mkii to set footnotes throughout the document. To do so, the footnotes must be enclosed within an environment which is set with the command \placelocalfootnotes or else the footnotes won't appear in the document.
The sixth example is also with ConTeXt mkii, in which the \color command will take over. This time around the \color is grouped within the footnote, while the footnote is set in the preamble of the document. The option state=start must be specified, as well as the color option for the margin.
\setupinmargin[location=right,style=slanted,color=red]
\setupcolors[state=start]
\starttext
\startcolor[red]
\section{A test}
\inmargin{Just a test}
\input tufte
\input zapf
\section{Another test}
\input knuth
a test
\dorecurse{2}{\input zapf \par \input tufte}
\stoptext
\setupinmargin[location=right,style=slanted,color=red]
\setupcolors[state=start,textcolor=red]
\starttext
\section{A test}
\inmargin{a test}adjust your margins to accommodate the type.
\input tufte
\input zapf
\section{Another test}
\input knuth
a test
\dorecurse{2}{\input zapf \par \input tufte}
\stoptext
\setupcolors[textcolor=red]
\setupinmargin[color=red,style=slanted]
\starttext
\section{A test}
\inmargin{a test}
\input tufte
\input zapf
\section{Another test}
\input knuth
a test
\dorecurse{2}{\input zapf \par \input tufte}
\stoptext
\setupcolors[textcolor=red]
\setupinmargin[line=13,color=red,style=slanted,]
\starttext
\section{A test}
\inmargin{a test}
\input tufte
\input zapf
\section{Another test}
\inmargin{another\\ test}
\input knuth
a test
\dorecurse{2}{\input zapf \inmargin{ another\\ test\\ of tests} \par \input tufte}
\stoptext
\setupcolors[state=start,textcolor=red,]
\setupfootnotes[,conversion=Romannumerals,]
\starttext
\section{A Test}
\dorecurse{2}{\input zapf \par \startlocalfootnotes Nota \footnote[]{Bene}\stoplocalfootnotes \input tufte}
\placelocalfootnotes
\pagebreak
\dorecurse{2}{\input tufte \par \input zapf}
\stoptext
\setupcolors[state=start,textcolor=red]
\setupinmargin[line=23,color=darkgreen,]
\setupfootnotes[color=green]
\starttext
a test\footnote{\red some nonsense text to test it out.}
\dorecurse{4}{\input hawking \footnote{ \darkblue If in 2600 you stacked all the new books being published next to
each other, you would have to move at ninety miles an hour just to
keep up with the end of the line. Of course, by 2600 new artistic
and scientific work will come in electronic forms, rather than as
physical books and paper. Nevertheless, if the exponential growth
continued, there would be ten papers a second in my kind of
theoretical physics, and no time to read them.}}\inright{This artificial \\ Wild West\\ became America's Iliad.}
\stoptext
