How to show list characters with red color?

You need to do this in two steps. You got the first one right by setting list and listchars.

The problem comes when you apply the highlight: you cannot combine the commands the way you are trying to do (as far as I know).

As Matt pointed in his comment, the highlight group responsible for listchars characters is SpecialKey.

set list
set listchars=tab:→ ,space:·,nbsp:␣,eol:¶
highlight SpecialKey ctermfg=blue ctermbg=red guifg=blue guibg=red

As you can see, I separated the settings in several lines and expanded them to their long name for more clarity, which seems more appropriate if you want to put these lines in a vimrc.