This sort of goes into the same direction as "If a tree falls in a forest and there is nobody to hear it, does it make a sound?"; in that it completely depends on whether you consider the concept in question (sound or blue-ness) a physical phenomenon or a sensation within the perceiving mind.
Then again, the sky really isn't blue or grey, it's transparent. The sun's light is partially blue, and the sky is refracting and scattering the sun's light in such a manner that the blue part seems to be coming from everywhere, instead of only from the sun. Saying the sky is blue is like saying that a glass prism is rainbow coloured.
Edit: Unless, once again, we go by a different definition. If "sky" really just is the spherical projection of the virtual image of everything that isn't located directly on earth - which makes sense since birds and stars are both considered to be "in the sky" - then the sky is blue. Unless it's night. Or the sun is close to the horizon. Or there's an eclipse. Or if it's pretty cloudy.
Honestly? The sky is less often blue than it is not.