Some color theory:
According to Conroy, the primary association of the color blue for most of recorded history was with truth a meaning that leaves a remnant in our language in the phrase "true blue." This was because blue is the color of a calm and clear sky, and it is calm reflection that leads to truth. [Why Is the Sky Blue? ]
Today, though, blue mainly conveys sadness and despair. When you've "got the blues," you're down in the dumps. The connotation may relate to tears and rain (with its depressive effects), as water was typically represented in people's minds as blue. In Greek mythology, Zeus made it rain when he was sad.