We investigate the dynamics of quantum and classical correlations in a system of two qubits under local colored-noise dephasing channels. The time evolution of a single qubit interacting with its own environment is described by a memory kernel non-Markovian master equation. The memory effects of the non-Markovian reservoirs introduce new features in the dynamics of quantum and classical correlations compared to the white noise Markovian case. Depending on the geometry of the initial state, the system can exhibit frozen discord and multiple sudden transitions between classical and quantum decoherence [L. Mazzola, J. Piilo and S. Maniscalco, Phys. Rev. Lett. 104 (2010) 200401]. We provide a geometric interpretation of those phenomena in terms of the distance of the state under investigation to its closest classical state in the Hilbert space of the system.