It's usually blue because it absorbs red/orange/yellow/etc. and reflects blue---that's why blue paint, or blue fabric, etc., appear blue. As usual, though, there are complications.
How about blue-colored glass? Rather than reflecting blue light, a blue filter might absorb everything except blue, and transmit blue. Or it might reflect some blue, transmit some blue, and absorb everything else. You can make glasses that do several different things--- for example, it might transmit red, reflect blue, and absorb everything else---these are called "dichroic". This sort of glass will look red if there's a light source behind it, but look blue if there's a light source in front of it.