For the same reason leaves turn yellow in the fall: carotenoids. Yellow bananas have particular carotenoids called xanthophylls such as lutein, but carotenoids come in a wide variety of shades in the yellow to orange range. As Bevan Audstone says, different varieties have a wide array of pigments.

As with trees, green bananas have chlorophyll which masks the other pigments. When the chlorophylls break down, the other colors show through, and the banana turns yellow.

They have the same pigments that some Asians have.