ParametricPlot[ Evaluate@Table[{r*Cos[Theta], r*Sin[Theta]}, {r, 1, 5}], {Theta, 0, 2 Pi}] 
Why? Try Trace[] on both your version and the one with Evaluate. You see that, without Evaluate, you ParametricPlot sees Table[{r Cos[Theta], r Sin[Theta]}, {r, 1, 5}] as its first argument (ParametricPlot has attribute HoldAll), while with Evaluate it receives {{Cos[Theta], Sin[Theta]}, {2 Cos[Theta], 2 Sin[Theta]}, {3 Cos[Theta], 3 Sin[Theta]}, {4 Cos[Theta], 4 Sin[Theta]}, {5 Cos[Theta], 5 Sin[Theta]}} as its first argument.
ParametricPlot (as well as Plot) seem to colour things differently or not depending on the head of their first argument. Example:
g[x___] := List[x] Plot[{x, x^2}, {x, -2, 2}] Plot[g[x, x^2], {x, -2, 2}] 