Correctly formulate Figure caption: refer the reader to the web version of the paper?
Do I understand correctly that you just want to tell the reader that the colored figure is available online (in case they printed it b/w)?

If so, then the usual approach is to do the following:


  Figure 1: (Color online) This is the caption and there is some stuff here.


This may depend on your field, but the American Physical Society (APS) recommends this.