Certified GKH Gardening Expert
There are two things that can keep a burning bush from turning colors. One is too little sun (aka too much shade) and the other is the temperature does not get cool enough. I would imagine that where you are it gets cold, so it might be a light issue. Is the plant located in a shady, even somewhat shady location?
The other possibility is that it was a mislabled shrub. You may have a green euonymus, rather than a red one. They are difficult to tell apart and sometimes the growers can get them mixed up.