Looking extremely cold and depressed? (4)

I believe the answer is:

blue

I'm a little stuck... Click here to teach me more about this clue!

'depressed?' is the definition.
(I've seen this in another clue)

I don't understand how the remainder of the clue works.

Can you help me to learn more?

(Other definitions for blue that I've seen before include "Indecent" , "and 17 World's largest mammal" , "Colour; obscene" , "Sad; butterfly" , "Sad; university sportsman" .)

I've seen this clue in The Telegraph and The Globe and Mail.

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