When a green leaf changes to red in the fall, the change is primarily due to the breakdown of chlorophyll, the green pigment responsible for photosynthesis, and the increased visibility of other pigments that were present in the leaf but masked by chlorophyll.
The red coloration in many leaves during the fall is often due to the production of anthocyanins, which are pigments that can appear red, purple, or blue depending on their pH. These anthocyanins are not produced in the leaf until chlorophyll breaks down.
So, to answer your question: yes, a new substance is produced when the leaf changes color, and that new substance is anthocyanins.