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There are quite a few different colors of them out there. Some are even more blue than this.

I wonder, why they are blue. Does it camouflage them? Or is it to scare potential predators, so they don't get eaten?

Who knows why there are so many different colors of them. They hide out in holes to avoid predators. Their biggest enemy is wasps that lay eggs in their back. Maybe the blue colors warn big animals not to step on them accidentally.