The color blue in movies is often used to communicate sadness. The film Blue Valentine is a good example of blue being used to convey that message.
Blue Valentine is a film about love and how time can change a person. The couple who the film focuses on fell in love at a young age and then got married and had a child. As they get older, the woman slowly grew apart from her husband while he grew to love her more.
This is a sad story that is told through the use of blue in a muted palette played off against neutral colors, which really help set the tone for the cold and distant feeling that is being felt by the characters.