New Testament authors never titled any of their works. But…do you put titles on all your texts? We didn't think so. When these books made there way into the Bible though, folks needed some system for telling them all apart. And that's why they slapped titles on 'em.
The most commonly used titles for these two—The Epistle to the Ephesians and The Epistle to the Colossians—pretty much say it all. It just means that these books of the Bible are:
one of which was sent to a Christian church in Ephesus
and the other of which was sent to a Christian church in Colossae.