Greek sculpture was painted; in fact, pretty much all sculpture everywhere was painted (or otherwise decorated) until Renaissance classicists started trying to imitate the ancient art they were digging out of the ground. At Smithsonian, a slide show of classical sculptures recolored to show how they might have looked when new. Above, the famous "Alexander Sarcophagus" as it is exhibited today. Below, the Smithsonian's color reproduction. And, to show the ambiguity in the process, I have dug up someone else's coloration and posted that, too.