They are properties of both lights and materials. Typically, materials have a diffuse color and a specular color. Lights just have a light color. When shading a surface, you would multiply the light color componentwise with the material's diffuse and specular colors to arrive at the Kd and Ks values for that equation.
Thus you could have various colors of materials, illuminated by various colors of lights, and have them combine appropriately.
As for ambient, it's not really a separate material property, more like a separate light source that fills the world and applies to every surface. It's a very simple stand-in for global illumination (multi-bounce light). Like other light sources, it has a color. Technically the ambient light should produce both diffuse and specular reflections on the surface, just like any other light. In practice, with this kind of very simple lighting model, you can often just use the material diffuse color and multiply it by the global ambient light color to get Ka in the lighting equation.