It's important to note that this is a popular misconception. Hindus don't necessarily believe the skin of deities like Rama, Krishna, Shiva, etc. are blue, they believe that their aura is blue. Many Hindus believe that one's aura is affected by their spiritual vocation. It affects how people see them, but the skin's color itself is considered irrelevant because deities choose their forms anyway.

A blue aura, for example, is attached to those who have attained a great deal in terms of spirituality, but still choose to intervene in the physical world. Blue is considered a color of all-encompassing nature, the color of the infinite, the color of things which are intangible to some degree, esoteric, the epitome of Brahman, the ultimate beginning and end.