Reading properly the nested_form documentation, I found the answer for this question.
When you click "Add a color", the event nested:fieldAdded
and nested:fieldAdded:colors
will be triggered, while nested:fieldRemoved
and nested:fieldRemoved:colors
will be triggered if you click "Remove this color".
So, the coffeescript to solve this problem is:
$(document).on "nested:fieldAdded", (event) ->
$('select[class="t_shirt-color_select"]').simplecolorpicker({theme: 'regularfont'})
And it's corresponding JavaScript:
$(document).on('nested:fieldAdded', function(event){
$('select[class="t_shirt-color_select"]').simplecolorpicker({theme: 'regularfont'})
})