Why was blue chosen as the color (feeling blue) meaning someone is sad, depressed?

According to the American Heritage Dictionary of Idioms:

The noun blues , meaning "low spirits," was first recorded in 1741 and may come from blue devil , a 17th-century term for a baleful demon, or from the adjective blue meaning "sad," a usage first recorded in Chaucer's Complaint of Mars (c. 1385). The idiom may have been reinforced by the notion that anxiety produces a livid skin color.

Source: http://dictionary.reference.com/browse/have%20the%20blues

Another source claims that "feeling blue" comes from the tradition of ships flying blue flags and bearing a painted blue band when a captain or another officer died.

https://www.quora.com/If-I-say-I-am-feeling-blue-what-does-that-mean-Where-does-that-expression-come-from

I do not think it was arbitrarily chosen. I think there is a universal aspect to why blue was chosen to mean someone was sad or depressed.
http://www.colour-affects.co.uk/psychological-properties-of-colours

BLUE. Intellectual.
Positive: Intelligence, communication, trust, efficiency, serenity, duty, logic, coolness, reflection, calm.
Negative: Coldness, aloofness, lack of emotion, unfriendliness.

Blue is the colour of the mind and is essentially soothing; it affects us mentally, rather than the physical reaction we have to red. Strong blues will stimulate clear thought and lighter, soft blues will calm the mind and aid concentration. Consequently it is serene and mentally calming. It is the colour of clear communication. Blue objects do not appear to be as close to us as red ones. Time and again in research, blue is the world's favourite colour. However, it can be perceived as cold, unemotional and unfriendly.

Although the musical genre "The Blues" originated in the 19th century, it is thought that the term comes from an earlier time.

blues (n.)as a music form featuring flatted thirds and sevenths, possibly c.1895 (though officially 1912, in W.C. Handy's "Memphis Blues"); meaning "depression, low spirits" goes back to 1741, from adjectival blue "low-spirited," late 14c. http://www.etymonline.com/index.php?term=blues&allowed_in_frame=0

One alternative explanation for the origin of the "blues" is that it derived from mysticism involving blue indigo, which was used by many West African cultures in death and mourning ceremonies where all the mourner's garments would have been dyed blue to indicate suffering. This mystical association towards the indigo plant, grown in many southern U.S. slave plantations, combined with the West African slaves who sang of their suffering as they worked on the cotton that the indigo dyed eventually resulted in these expressed songs being known as "the Blues."
https://en.wikipedia.org/wiki/Blues