https://pubmed.ncbi.nlm.nih.gov/20935843/

Also:

Shadow Color

In real life, shadows often appear to be a different color than the area around them. For example, outdoors on a sunny day, shadows can appear to be tinted blue. The shadows appear blue because the bright yellow light from the sun is blocked from the shadow area, leaving only indirect light and blue light from other parts of the sky.

So basically, if the light source has a yellow color to it (which many often do), the shadows can appear blue.