Even the early Romans heat-treated stones to transform boring into brilliant, just as our modern gemologists do. That's because there would be very few colorful - yet affordable - gemstones on the market, as it's very rare for gems to naturally occur in the rainbow hues we love.
Affordable is the key word here. Robert James
FGA, GG, gives this example: A rare 3-carat sapphire that comes out of the earth a brilliant blue could cost you upwards of $20,000; compare that with $1,500 for the same-sized sapphire that earned its color through heat treatment.
Some gemstones we use wouldn't even exist without heat treatment. I'm thinking particularly of citrine, which is heat-treated amethyst. And purplish-blue tanzanite begins it gem life as a dull, reddish brown.