Essentially, their tiny bug brains think the light is the sunset, so they keep turning to keep the "sun" at the same angle so they can go "straight." No matter how far they fly, they don't make any progress. They are trapped in this little hell we made just for them, not understanding why they can't get to where they are going.
Which LEDs? LEDs are pretty much all giving off the same two colors to make white: blue and yellow (in a single chip made of a blue LED and yellow uv-reactive phosphor). Warm white, cool white, same thing just varying intensities of each color. Only cheap color-changing LEDs (now) will use R/G/B chips lit together without dedicated white chips. What wavelengths are they tracking?