If enum is supported by your compiler, then that would be preferred. Failing that, by all means, use #define. All C++ compilers and modern C compilers should support enum, but older compilers (particularly ones targeting embedded platforms) may not support enum.
If you must use #define make sure to define your constants with parentheses, to avoid preprocessor errors:
#define RED_STATE (1)
#define YELLOW_STATE (2)
#define GREEN_STATE (3)
