Sometimes the bell peppers are a different variety; sometimes they've been allowed to grow longer than we usually let them, and that's how they can achieve different colors.
If the pepper is a different variety *and* is not a hybrid (boy, THAT is a small probability, for sure), the seeds 1) might be fertile and 2) might give you identical fruit. However, growers are sometimes guarded about this very possibility, and take measures to reduce the germination rates of the seeds.
The more likely possibility, though, is that the peppers *are* hybrids. This means that the parent plants aren't orange / yellow / brown / purple bell peppers, but some other color or combination of colors. If you save the seeds (and be sure to save them in a cold, *dry* location; moisture will rot them) from hybrid peppers, get yourself into an "experimental" state of mind: the state where one says to oneself, "OK, let's perform an experiment and find out what kind of plants these peppers came from."
That way, when non-orange/yellow/brown/purple bell peppers grow, even at full maturity, the "experimental" gardener isn't disappointed, but rather entertained!
Happy gardening!
Cynthia H.
Sunset Zone 17, USDA Zone 9