But they give them a cookie and a sticker later, so it's all good.
Actually horseshoe crab blood is blue because it contains a lot of copper. They use that particular mineral to do the job that iron does in human (and other animal) blood, and instead of hemoglobin they have something called hemocyanin, which transports oxygen throughout their bodies. Their blood also deals with infection in a way that's much different than ours, and clots aggressively around any foreign body to the point where it's easily seen under a microscope -- this is what makes their oozing goop absolutely vital to the pharmaceutical industry.
Worldwide boners are going to take a serious hit if it turns out that this is why Viagra is blue.
The gel-like substance that surrounds the slightest bacterial infection in horseshoe crabs was co-discovered by the tremendously named scientist Fred Bang. The chemical that causes it to occur, called coagulogen, allows us to very accurately test medications for contamination, can detect anomalies as small as one part per trillion, and is used on just about every single drug that comes out. And the way to get it is to capture a shitload of crabs, jab a needle in their assholes, and subject them to a process called "rack & bleed."