This is a very interesting and frequently asked question about Hinduism, and while there isn't a definitive answer to it, I will lay out certain facts and analysis regarding Krishna that may explain why many Hindu deities are often depicted with dark blue skin.

1. Krishna appears to be an amalgamation of several deities of ancient India. The earliest of these is Vāsudeva, a god-hero belonging to the Vrishni tribe of Dwarka. His worship is attested in the writings of the ancient Indian scholar Pānini, as well as in the epigraphy of the Heliodorus pillar. It is thought that at a certain point the Vrishni tribe fused with the Yadava tribe, which worshipped a god-hero named Krishna. As the two tribes coalesced, so did their deities into a single deity that appears in the Mahabharata.

Later in the 4th century CE, the pastoral tradition of Bal Gopal, with its lively and joyful stories of a mischievous child deity, was absorbed into the Krishna tradition. Hence we get the impression of an unbroken Krishna story, from childhood to adolescence to manhood, but it's more likely a synthesis of various traditions and folk stories.

2. Now the different deities that form Krishna may have been depicted in different ways by different groups of people who worshipped them, but we're going to be looking at the tradition that might explain the blue skin of the god, and that's the pastoral tradition.

In the pastoral tradition, Krishna is depicted as a young, mischievous child deity who plays a flute with magical effects, luring the innocent and the heedless from the certainties of an well-ordered society. He also invariably wears peacock feathers in his crown, which are suggestive of a forest.

3. Krishna is not mentioned in any of the ancient Indo-Aryan compositions of the Vedic period (1500 BCE - 600 BCE). Instead he first appears in the Mahabharata, which was composed during the classical era, somewhere between 400 BCE and 300 CE. It is generally assumed that the Indo-Aryans had paler skin than the previous inhabitants of the Indian subcontinent.

Based on these three points, it can be argued that Krishna's dark blue skin is indicative of his non-Aryan, tribal origin. But as I said at the start, there's no definitive answer to the question, so I could very well be wrong. But if the explanation is correct, that would also explain why other deities, such as Rama, Shiva and Kali, are also depicted in a similar manner.

Sources:-

Amalgamation of various traditions:

Pradyumna: Lover, Magician, and Son of the Avatara, Christopher R. Austin, 2019, Oxford University Press, pg. 23

Kaladarsana: American Studies in the Art of India, Joanna Gottfried Williams, 1981, BRILL, pg. 127-131

Pastoral tradition and possibility of non-Aryan origin:

A Survey of Hinduism, Klaus K. Klostermaier, 2005, State University of New York Press, pg. 206

Hindu Art, T. Richard Blurton, 1993, Harvard University Press, pg. 133-134