If you consult an American dictionary you'll see that being blue means being sad and depressed. Do you see anything to feel uneasy about?
As I have heard, people dont`t use this expression, because when you say it in your conversation, they think that you are really bleu and it`s much more better to say "I`m sad".
19./невысказанное от стеснения, невозможное для держания в себе/