It is quite weird that of all colors people used to describe the depressing, gloomy, or melancholic feeling, they picked blue.
We are aware of certain phenomenon a few years back, when people are diligently working on their computers, thumping the keyboard vigorously through the night in order to rid all the monsters and proceed to the next level. Then all of the sudden the screen turned blue. Yes, that was very depressing.
But, what was it really they saw in the past so depressing that they blamed blue for their misery. Did people woke up, went out of their cave, and said to their wives, "Oh no, look at the sky, all clear and blue" and their wives replied, "Yeah, that's really depressing. And we're just about to go for a picnic on the hill." Or did they went to the sea, rode their boat and while preparing the fishing bait, they said to their friends, "Hey, look around us, all gleaming blue everywhere you look" and their friends replied, "Yes, yes, I know. Very sad. Very sad."
It's puzzling really. But since everyone seems to automatically accept blue to relate their unhappiness, then it must be genetically coded. Yes, that must be it. We can accept that. Just like how people grin when they're happy, how people shiver when they're cold, how people pretend to be rich when they're in love, they are also blue when they're lonely.