Crustaceans have blue blood due to presence of protein called 'haemocyanin'. Vertebrates on the other hand side have 'haemoglobin'. Both haemocyanin and haemoglobin proteins assist in oxygen transport in the body. Haemoglobin has iron molecules to which, when the oxygen molecules bind gives red colour whereas haemocyanin has copper molecules instead of iron and when the oxygen molecules bind to copper molecules of haemocyanin it becomes blue colour. After dissociation of copper and oxygen molecules (exhalation) the haemocyanin becomes colourless.
In Invertebrates, the hemolymph, that is to say the liquid that plays the role of blood, does not contain hemoglobin (as in Vertebrates) but hemocyanin. This oxygen carrier pigment contains copper atoms instead of iron atoms (as in hemoglobin), which gives it a blue-green color.
It is for this reason that the blood of insects or crustaceans is not red, but blue-green. The best-known example of a blue-blooded animal is that of an arthropod sometimes called "blue-blood crab": the horseshoe crab (Limulus sp.).