Tradition.

What color should the blue screen of death be if not blue! I guess it's coming from Windows: https://en.wikipedia.org/wiki/Blue_screen_of_death

An early blue error screen first existed in the Beta Release of Windows 1.0; if Windows found a different DOS version than it expected, the error message "Incorrect DOS version" alongside other text messages detailing what check failed to pass would be appended to the boot screen before starting normally.

When something hits you in the face you turn blue. This essentially hits you in the face, and matches that color.