Smurfs. Nobody appears to have mentioned smurfs.
It just seems to be an unnatural colour for mammalian creatures to be. Even through there are (apparently) no intrinsically green-furred mammals, especially humanoids, everything from a sloth's mat of algae/moss and other incidental chlorophyll staining to the general idea of a "Green Man"/Swamp Thing/Hulk creature being a humanoid made of natural things or relating to the relatively recent concept of radiation, makes green creatures more 'normal' than blue ones. Mythology notwithstanding. Whereas a smurf-like being just doesn't (to my knowledge, BICBW) have the same kind of mythological background.
On this world, at least. The other blue creatures one could mention (though not yet enmoviefied) are the Nac Mac Feagle, ak.a. the Wee Free Men, of Discworld fame. Who lead directly back (by at least one branch of inspiration) to the Wode-coloured celts, picts or Aussie-accented Scots, according to whatever cultural baggage you carry around with you.
Aside from that, you have the concept of blue blood, "She wore bluuuue... Velvet [da da daaa]", The Blue Lagoon, blue movies... but each of them relies on signs of opulence (pale skin from non-working nobles, and rare dyes), water nature (although the likes of kelpies, etc, are again
often more green than blue), and I wouldn't immediately know how to divine the etymology of the latter...
But then we're getting more into the territory of blue being a purely decorative colour. In the old days, it was "bad guys where the black hats, good guys the white ones", or equivalent, but you tend to get red vs blue (c.f. Tron, Red Shadows vs Action Force and just about everything up to the the Ruskies vs American forces, and references such as "blue on blue" for 'friendly fire' incidents, of course.)
So, opulence, rarity, unusualness, brightness of colour, possibly some antithesis of normal blood (in matters of normal healthy vitality and/or "red in tooth and claw", depending on the imagery rerquired), combined with the heretofore unmentioned association with the sky (certain shades, at least) as well... And, above all, it's a primary colour in both optical and pigmentation colour-wheels, so rather than go for a more mixed hue (frexample: the likes of mauve
) it's pretty basic and unambiguous. At least to those without blue/yellow partial colour blindness or total colour blindness...
That's what I think. For what it's worth.
 Bright blue, anyhow, you get 'blue' greyhounds and cats that aren't that top saturation/luminosity, and dolphins maybe if that's not a function of the water colorising them away from the usual grey)
 Ignoring for now that he was originally intended to be grey...
 Does that show my age (and nationality!), or have they gone round in full circle since the Baron Ironblood, commanding the evil red forces, became Cobra Commander, commanding the evil... blue forces... Hah!