Try:
help hl-LineNr
I found this through:
help 'number'
which is the way to get help on the 'number' option, instead of the :number command.
To actually change the displayed colour:
:highlight LineNr ctermfg=grey
This would change the foreground colour for LineNr on a character terminal to grey. If you are using gVim, you can:
:highlight LineNr guifg=#050505