Bitli,
Vincent and Philip are right. It is part of the complex diffraction pattern obtained as light diffracts past the vanes on your scope.
The main structure, and the easiest to understand, is the big cross. If you only had one vane running vertically, then you would get a horizontal diffraction line. Basically the light passing the vertical vane wants to spread out slightly in the horizontal direction as it passes the vane. Much like watching ripples on a lake changing direction as they pass an obstruction.
This is how those Bahtinov masks work....they put a bunch of parallel 'vanes' in the path to give a strong diffraction spike at 90 degress to that bunch. Then they put two more bunches of parallel vanes, but ay different angles to the first bunch, to create the other two spikes. Each bunch of vanes covers a different sector of the mirror (or lens) and therefore the spikes only cross perfectly when the three sectors of the mirror (or lens) are collimated. Very cool.
The colour effect within the big spikes are the fine detail of the diffraction pattern and, as Vincent points out, they are due to the fact that the differing wavelengths diffract by differing amounts, so you get constructive and destructive interference taking place. If you were imaging at one wavelength (say Halpha) then you will not see the various colours, but you might see light and dark bands radiating out along the spikes.
The fact that you can see all of this detail with all of the colour banding means that your scope is well collimated. 8)
Cheers
Simon