Be depressed or sad, as in I was really feeling blue after she told me she was leaving. The use of blue to mean “sad” dates from the late 1300s. See also blue funk, def. 2; have the blues.
The American Heritage® Idioms Dictionary Copyright © 2002, 2001, 1995 by Houghton Mifflin Harcourt Publishing Company. Published by Houghton Mifflin Harcourt Publishing Company.