When you say that you are "feeling blue" to indicate that you are feeling down or depressed this is an example of the Idiom.
To feel blue means feeling sad or depressed, example : as in - I am feeling blue as my parents are getting divorced. The use of blue to mean "sad" dates back from the late 1300s.
One can define idiom a phrase or an expression that normally represents a figurative, non- literal meaning attached to the phrase. It can also be said as the expression which is used in a language that is peculiar to itself either in containing a meaning that cannot be derived from conjoined meanings of its elements or in its grammatical different use of words.
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