The Answer is simple..EVOLUTION..
The colour of an living organisms depends on 2 things 1) attracting other sex. 2) escape from the predators.
In birds and insects: They doesn't much depend on other sex for living(except for the process of reproduction)and there is no need t exhibit physical work for attracting other sex... For example if you take a peacock the male needs to be colourful to attract female. but there is no physical work....Let The Other example be some Insect,then if it is colourful.. a predator may not eat for its bright colour..
this made insects and birds evolute into colourful..
But in mammals. the attracting and escape both depend on physical work... a lion being handsome cannot attract lioness.. :P It need to be physically healthy to escape from predators and give an enough competition to other lions in his territory...
this made evolution for mammals much depend on their capability of body.. rather than physical attractiveness.. for example in a forest a tigress will obviously pair with a Tiger which has more territory than a more attractive handsome tiger without territory(this is not a case with insects)..