Here's one thread that discusses the exact stats that you have.
Coleman Mach to Honeywell 221B
The wiring listed in that thread is:
Red wire to “Rh” terminal (
Rh and Rc utilize a jumper)
White wire to “W” terminal
Yellow wire to “Y” terminal
Green wire to “G” terminal
Gray (not connected)
Blue (not connected)
Is this the wiring you followed? If so go back and make sure you have it exactly as listed. Also make sure there's a jumper between RH & RC.