You can see it working in the Wokwi simulator:
https://wokwi.com/arduino/projects/323867730322129491
Just added some code for the second Led and at the end of a session set the Led to off (0,0,0).
Here is the code (as a good behavior we should always post the code in the forum as well!):
int redPin = 11;
int greenPin = 10;
int bluePin = 9;
int redPin2 = 6;
int greenPin2 = 5;
int bluePin2 = 3;
int r = 0;
int g = 0;
int b = 0;
int r2 = 0;
int g2 = 0;
int b2 = 0;
void setup() {
pinMode(redPin, OUTPUT);
pinMode(greenPin, OUTPUT);
pinMode(bluePin, OUTPUT);
pinMode(redPin2, OUTPUT);
pinMode(greenPin2, OUTPUT);
pinMode(bluePin2, OUTPUT);
}
void loop() {
setColor(50, 0, 100); // red
setColor(40, 0, 70); // green
setColor(100, 0, 100); // blue
setColor(80, 0, 100); // yellow
setColor(0, 50, 100); // purple
setColor(100, 0, 50); // aqua
setColor(0,0,0);
setColor2(50, 0, 100); // red
setColor2(40, 0, 70); // green
setColor2(100, 0, 100); // blue
setColor2(80, 0, 100); // yellow
setColor2(0, 50, 100); // purple
setColor2(100, 0, 50); // aqua
setColor(0,0,0);
}
void setColor(int red, int green, int blue) {
while ( r != red || g != green || b != blue ) {
if ( r < red ) r += 1;
if ( r > red ) r -= 1;
if ( g < green ) g += 1;
if ( g > green ) g -= 1;
if ( b < blue ) b += 1;
if ( b > blue ) b -= 1;
_setColor();
delay(70);
}
}
void setColor2(int red2, int green2, int blue2) {
while ( r2 != red2 || g2 != green2 || b2 != blue2 ) {
if ( r2 < red2 ) r2 += 1;
if ( r2 > red2 ) r2 -= 1;
if ( g2 < green2 ) g2 += 1;
if ( g2 > green2 ) g2 -= 1;
if ( b2 < blue2 ) b2 += 1;
if ( b2 > blue2 ) b2 -= 1;
_setColor();
delay(100);
}
}
void _setColor() {
analogWrite(redPin, r);
analogWrite(greenPin, g);
analogWrite(bluePin, b);
analogWrite(redPin2, r2);
analogWrite(greenPin2, g2);
analogWrite(bluePin2, b2);
}
To be frank, I am not quite happy with the code, there is room for improvement ... 
If it does not run with your installation, please check whether common is really the cathode (goes to GND) or possibly the anode (goes to 5V) ...