There are multiple ways to do this, it depends on the type of photos (JPEG or RAW) and the desire to automate.

Plugin

This shareware plugin seems to do what you want. When exporting your images, it assigns Mac OSX Finder labels that match the colour tags in Lightroom.

I haven't tried this myself, but the screenshots seem promising.

Manually convert LR tag to Finder label

An alternative workaround would be:

1. In LR assign photos with a certain colour tag a certain keyword.
2. Go to the Library view
3. Filter all photos with a certain tag and select them
4. On the right there should be a Keywording panel, fill in the keyword of your choice there:

5. Depends on file-type:
   • If JPEG: With the selection still active press CMD+S to write the metadata changes into the file.
   • If RAW: export the photos to JPEG's.
6. In Finder, navigate to the folder with the JPEG's and search for the keyword
   • Plainly searching for the keyword is sufficient, this article describes how you can search for a specific attribute (in this case the keyword attribute).
7. Assign a Finder label to the photos that are found in step 7.
8. Repeat manually or automate

Automation with exiftool and tag

If you're slightly familiar with scripts you could take the following rough steps to automate assigning Finder labels based on LR colour tags:

1. Make sure the LR colour tag is written to the JPEG files (see step 5 in the previous method)
2. Loop over your images, e.g.: for f in *.jpg; do echo "Check colour tag of $f file.."; done
3. With exiftool check the value of the Label field of each image, e.g.: exiftool -s -s -s -Label photo.jpg
4. Based on the value of step 3, assign a Finder label. This requires that you use some kind of command line interface to set the Finder label, e.g. tag.

Below script carries out the automated task for all JPG files in the current directory.
Prerequisites are that you have exiftool and tag installed. Both can be installed via homebrew:

brew install exiftool
brew install tag

#!/bin/bash
for f in *.jpg
do
    # Get the LR tag name
    lrtag=$(exiftool -s -s -s -Label $f)
    # This sets the tags, replacing any existing ones
    tag --set $lrtag $f
    # This adds tags, keeping any existing ones
    # tag --add $lrtag $f
done

_{I'm not affiliated with any of the linked applications.}