Which log are you talking about, onscreen messages, or UED log interface.
For on screen messages, the third parameter lets you set a color
GEngine->AddOnScreenDebugMessage(-1, 5.f, FColor::Red, FString::Printf(TEXT("%s %s: %s"), NETMODE_WORLD, CLASS_FUNC_NAME, *Msg));
for log interface
SET_WARN_COLOR( COLOR_CYAN );
FString Msg = FString::Printf(TEXT(Format), ##__VA_ARGS__ );
UE_LOG( LogFF, Log, TEXT("%s%s() : %s"), NETMODE_WORLD, CLASS_FUNC_NAME, *Msg);