There has been a race amongst rose breeders to get a good blue rose for many years and it is still a holy grail. Only gene splicing with the blue colour from another type of flower would work. Shades of blue do not naturally occur in roses so just breeding between rose crosses will only ever give a sort of lavender hue.
I don't know how much effort has gone to creating a blue variety of rose through breeding. But obviously not enough because we still don't have any, after centuries of trying to create every possible kind of rose.