Translation:The police officers have blue shirts.
All three colors 'celeste, azzurro e blu' are in fact translated with blue. While celeste is a sky-blue, azzurro the blue of the sea, the color blu is maybe a slightly lighter shade of navy blue. I found this interesting website in Italian with examples of how to use the differnt colors: http://www.boscarol.com/blog/?tag=azzurro
I understand your question, but I'm not sure it would make a difference. That is, in your example you could just as easily say, "The police officers have blue shirts," leaving out the definite article ('the') and you have accomplished the same thing. So DL's answer would work in either case. I'm not sure if that is the correct Italian answer, but it works the way I see it.