As you may know, paper chromatography is a method that can be used to separate the individual components of a mixture. Basically, you can think of the whole setup as a medium (the paper), a solvent (whatever you dipped the paper into), and the initial mixture to be separated. When the paper strip is dipped into the solvent, the solvent will start moving through the paper. As it passes through the mixture, it will dissolve the mixture and continue through the paper.

Now, when the components of the original mixture are dissolved into the solvent, we need to consider if the components are more attracted to the solvent or to the paper. If the component is more attracted to the solvent, then it will move with the solvent along the paper relatively fast. On the other hand, if the component is more attracted to the paper, it will move relatively slow. Relating this to your question, this means that the component that was blue had the strongest attraction to the paper compared to the other components of different colors. On a side note, it is important to understand that there is nothing special about blue, and blue would not necessarily always separate last. It just means that in your experiment, the component that was blue had the strongest attraction to the paper (or, the lowest Retention Factor).