Are there sensors that can detect the color of an LED?
You can use an LED as a light sensor - http://www.instructables.com/id/LEDs-as-light-sensors/

In theory, LEDs should be most sensitive to the frequency it emits - if this is true, the same type of red/green/yellow LED would be best.

I don't know how sensitive this will be.

If you control the "external device", then you could get much better accuracy by blinking the LED at very high rates (not visible to the human eye). Or, if you can get at the legs of the LED, you can tap into the signal directly (you should use an opto-isolator - even if powered at a few volts, the ground of your project may be different from the ground of the external device, causing 100s of volts to run through your Arduino - not good!).