Because compounds burned in a candle flame and stars do not produce light in exactly the same way. The compounds you burn emit their light in certain bands of light called 'spectral lines' .These lines are produced when electrons in the compounds are forced to jump to higher energy levels in the compounds as the molecules in the compounds collide vigorously. Eventually, the electrons loose the energy they received, and jump back down to their 'ground states' giving off a particle of light ( called a photon) with a very specific energy. Each compound has its own unique pattern of spectral lines, and it is these lines which you see as the different colors in the candle flame. Stars emit light at all wavelengths in the visible spectrum, but emit more at some wavelengths than others. This is what gives them their red color or their yellow color, or other colors.