We report a spectroscopic study of single colloidal CdSe/ZnS nanocrystals at low temperature. We use photon-correlation Fourier spectroscopy, a technique based on measuring the correlations of the intensities detected at the outputs of a Michelson interferometer. Spectral diffusion over a few mu eV is evidenced, on a typical time scale of 200 mu s. A time resolution as high as 20 mu s is obtained, and an upper limit of 6.5 mu eV emission linewidth is measured, corresponding to a coherence time of at least 200 ps, similar to the values for epitaxial quantum dots.