The CSS :active state means the active state of the clicked link - the moment when you clicked on it, but not released the mouse button yet, for example. It doesn't know which page you're on and can't apply any styles to the menu items.
To fix your problem you have to create a class and add it manually to the current page's menu:
a.active { color: #f00 }
<ul>
<li><a href="index.php" class="active">HOME</a></li>
<li><a href="two.php">PORTFOLIO</a></li>
<li><a href="three.php">ABOUT</a></li>
<li><a href="four.php">CONTACT</a></li>
<li><a href="five.php">SHOP</a></li>
</ul>