These leaves have chlorophyll, just as other leaves do. The red color comes from pigments called anthocyanins. Many plants have anthocyanins below their chlorophyll, causing their leaves to turn red in the autumn as the chlorophyll goes away. Other plants, like this red Coleus, have anthocyanins above the chlorophyll, so they appear red all the time.
This is an advantage for the plant if it grows in bright sunlight. The ultraviolet part of sunlight can damage chlorophyll, reducing food production. Anthocyanins block much of the UV spectrum, protecting the chlorophyll, and increasing food production.