The most common and most likely answer to this crossword clue is the 8 letter word DEJECTED
I've seen this crossword clue in Financial Times
D
E
J
E
C
T
E
D
More clues leading to the result DEJECTED
Buddy explains!

The straight part
We know that "Blue" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case blue = dejected.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does DEJECTED mean?
DEJECTED verb- Make sad or dispirited.
- To cast down.
- Sad and dispirited.