Very nice. If you use the eraser tool to shave off a circle around the center pieces, you can watch them get desaturated. Works particularly well on the "yellow" one. Here's the result, but I recommend not opening it and doing it yourself to see the desaturation in progress: http://i.imgur.com/WqFwLVX.png
It's a very good example of the fact that our brain processes information in a _top-down_ manner. i.e. we take into account much more information than the signal itself. It's the reason why ventriloquism works so well. We see and hear what we expect to see and hear.
Just a nitpick, but it's not exactly the same color - they're a few shades different. But yeah, both of them are yellow-ish according to my color picker, even though the left one looks gray... Interesting...
It does make sense if you think about it. In the "grey" version, you perceive it as grey since it looks like there is a transparent yellow layer, and based on the surrounding, it looks like the element itself is just grey rather than yellow (even though there is a yellow tint on the object due to the layer).
But, with a blue transparent layer, there is no yellow to add on from the layer, so the object itself must be yellow in order to show through as such. So our brain makes the appropriate adjustment. Very smart. We see what the actual object probably looks like, rather than the exact colors.
The classic optical illusion with a rubik's cube with a side in shadow is basically the same illusion.
The center pieces (grey on the left, and yellow on the right) are actually the exact same color.
My brain simply cannot accept it, even after confirming it w/ photoshop.