I don't know - when I clicked on the sentence for this topic, my first association was with depression, not the color. Or does that tell something about me, rather than the sentence?! Oh dear..
Anyway, I'd probably vote for keeping both meaning - but making/keeping the depressed-version the standard translation.
Oh, by the way I did a quick check for British vs American English. "Feeling blue" is a bit more prevalent in American English, but only marginally so - I think by a factor of 1.5. Apparently the use (at least in books) is on a steady rise for both types of English, which is interesting.