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"Out of the blue" is an informal English language idiom that describes an event that occurs unexpectedly, without any warning or preparation. It is used as an adverb. The "blue" in the phrase refers to the sky, one from which a sudden plane is falling unexpectedly, thus it comes 'out of the blue'.
Longer and more explicit variations include out of the clear blue sky and out of a clear blue sky.
References
Out of the blue (idiom) Wikipedia(Text) CC BY-SA