Some stock rims arent able to be painted, chrome for example. Aftermarket ones are the ones which are in the alloy icon in the upgrade section, select one of those wheels and you can change the colour
Stock rims are coated in a clear coat and polish full of magical properties. They cannot be painted because there is no feature in the game to sand them, prime them, paint them, and then re-coat them. You can paint the aftermarket rims because they can - in essence - be ordered from the manufacturer in almost any color, or they can be powder coated at an after market shop. Manufacturers do not typically do this unless a factory option comes with black wheels.
This is not in any way the official response, it just sounded good so I wrote it. Any and all complaints can be directed towards the largest member of the string family as posted above.