Pablo Picasso arrived in Paris just before he turned 20, and his beginnings were not easy.  He was alone and had economic difficulties, Pablo began to depict the world which he lived in.  He created a melancholic universe of blue tones. This was the beginning of his so called blue period. 
He uses blue as a sad colour because his life at theses stages are rough.  The blue he is using is a dull blue which makes everything darker and you can see the sadness in his work.