The Koons pieces you are referring to are the "Celebration" series, which are highly polished stainless that is then colored.
It is a bit mysterious exactly what it is.
The original bunny, from the early 80's, was merely polished stainless steel.
The current pieces, shown here
are called stainless steel with transparent color coating.
My guess is this is a transparent laquer or automotive clear coat paint sprayed over the stainless.
However its done, it beastly expensive, labor intensive, and probably a lot more fragile than you would think.
When people pay $40 million for a piece, they tend to avoid fingerprints from toddlers, banging it with furniture, or dragging their car keys on it.
Koons himself went into debt to the tune of several million dollars making this series of work, and most of that undoubtedly went to the stainless fabricators, who first had to form the things from sheet, then polish them with successive grits for weeks on end, finally buffing em, then sending them out to be clearcoated with the tint.
Looks great, but dont touch.