Just so, why is the sky blue saying?
A clear cloudless day-time sky is blue because molecules in the air scatter blue light from the sun more than they scatter red light. When we look towards the sun at sunset, we see red and orange colours because the blue light has been scattered out and away from the line of sight.
Keeping this in view, what does out of blue mean?
Out of the blue is an English idiom meaning “suddenly and unexpectedly”. You can use it when you are surprised by something that was not expected to happen. Yet another version of the idiom reveals what comes out of a clear blue sky. It is possible to say that something unexpected is a bolt from the blue.