Bugs do have blood, but it is very
different from our own. Human blood has red blood
cells in it, which are responsible for taking
oxygen and carrying it throughout our bodies. The
red blood cells are red because they contain
hemoglobin, which is a special protein that
actually binds the oxygen.
Insect blood, which is called hemolymph,
contains various nutrients, hormones, and other
things, but does not have any red blood cells or
hemoglobin. That is why it is not red in color,
and instead is rather clear.
Insect blood does sometimes have some very
light pigments in it, probably coming from plants
that they have eaten, and that is why it sometimes
looks yellowish or greenish. When you squash a
housefly and see red, that's not actually due to
their blood-- it's the result of red pigments
from their eyes!
Insects also have an open circulatory system
instead of a closed one. This means that they
don't have any arteries or veins, and instead
their blood just flows more openly throughout