Lyrically, the song features a yearning reflection on regret and romance.
Interpolating an a capella version of the Johann Sebastian Prelude from Bach’s “Suite No. 1 in G Major” for unaccompanied cello, the beautiful and meditative “BLUE” is the album's first bonus track.
The session for "Blue" took place at around the time after leaving One Direction, when Zayn was staying in the Beverly Hills Hotel.
Zayn has stated that he was "in the zone". Having recorded the song in just one or maybe two takes.
"The session for Blue took place around that time and, when it came to writing and recording, the craziest thing happened."
The singer recalls, "I think I got it down in one, maybe two takes. It just poured out of me in a rush. I was in the zone. Everything felt weird – nice weird; I didn’t really have any idea what was happening. I was standing there, just singing, and all these proper odd words came out, and the melodies had a real swing to them, which wasn’t a style I’d really done much before. I think I was picking up an old-school vibe from the hotel."