Ash Wednesday is the beginning of the season of Lent, a time that the historic church set aside to prepare for Easter specifically through the spiritual disciplines of fasting and prayer. Lent is a 40 day season (excluding Sundays) in which Christians are called to consider themselves and their place before God. One of the considerations that Christians cannot escape is the confession of sin. 
The word “confession” simply means “to tell the truth with”. When a Christian confesses his or her sin, he or she is simply saying, “yes, it is true, I have sinned.” The recognition of this sin is often a stark and surprising reminder of our failures. We often don’t expect to fail, but the reality is that our lives are mixed with successes and failures. By telling the truth about our failures to God, we are set free of them. We acknowledge that we have failed, but we also acknowledge that our failures are taken care of by Jesus.
When Hebrew followers of God in the Old Testament wanted to express that they had failed or where otherwise in mourning, they would put ashes on their head. It was a clear reminder to them and everyone else around them that something had gone wrong. Something wasn’t right. Christians know that because of sin, our lives aren’t right. We mourn this fact as we confess it.
But there is hope in Ash Wednesday, specifically in the sign that appears on the heads of Christians who receive ashes. The ash mark given in Christian churches, including Lutheran churches, is the sign of the cross. Our mourning over our sin is absorbed by the cross, and so the ashes are in the shape of the cross.
This is symbolized in Martin Luther’s personal symbol – the rose seal. In the middle of the rose seal, you find a red heart and a black cross. The cross is black in order to symbolize that all sin has been absorbed by the cross. Since the cross has absorbed the sins, the heart is red and healthy. Our hearts, as Christians, are red and healthy because of the work of Jesus Christ who absorbed the penalty of the sins that we confess on the cross as He died there.
So yes, people in the Lutheran movement will do Ash Wednesday, but we are clear about the meaning of the Cross and the hope that is found within it.