Here's why:
* Adjectives describe nouns: "The blue sky" ("blue" describes the noun "sky").
* Verbs show action or a state of being: There's no action or state of being associated with "blue" on its own.
However, there are rare cases where "blue" can act as a verb:
* To feel blue: This idiom means to feel sad or depressed.
So, generally speaking, "blue" is an adjective, but you might encounter it as a verb in specific idiomatic expressions.