I was wondering why, so I googled!

Why don't we wear white after Labour Day?

An old custom prohibits the wearing of white after Labor Day. (It's Labour Day! Damn Yankees can't spell, lol) The explanations for this tradition range from the fact that white clothes are worse protection against cold weather in the winter to the fact that the rule was intended as a status symbol for new members of the middle class in the late 19th Century and 20th Century.

Courtesy of http://en.wikipedia.org/wiki/Labor_Day