Insects have blood but that is not used to carry oxygen. Instead, oxygen is distributed via an elaborate system of tubes and air sacs. Thus, insect blood does not have hemoglobin and is not red. In general, insect blood is either colorless, pale yellow or green.
Yes most insects are green because they are sensitive to their environment, The life cycle of most insect revolve round of green plant: the egg, the larva, the pupa and the adult. But the green colour is actually from the green plants they reside and feed on.
Insecte can be not only green (red, gold, etc.) and many -- IRIDESCENCES.
p.s.
Iridescences: The Physical Colors Of Insects was written by Serge Berthier, a French physicist and materials scientist with a passion for beautiful insects.