Chill says the following:
"In ancient times one of the four threads was blue. In those days a marine animal was known with either blue blood or a blue secretion of some sort which was used to dye the thread. At some point in history Jews became unable to identify the species from which the dye originated. Subsequently only white threads were used, despite the fact that the Torah enjoins us to include one of blue. About the year 1885, Rabbi Gerson Henokh Leiner of the city of Radzin in Poland claimed that he had discovered the breeding area of this Hilazon (the blue blooded animal) somewhere off the coast of Italy. Both he and his many disciples immediately started to dye one thread of each set blue, using the blood of this fish. A furor ensued in the entire Rabbinic world at the time. While the Hassidim of Radzin until this day wear a thread of blue in their Tziziot, the vast majority of Rabbinic authorities have rejected Rabbi Leiner's claim of identification.
The Torah instructs us to include a thread of blue to remind us to keep God's laws. But how does looking at the tzitziot move us to remember? The Talmud (Menahot 43b; Sotah 17a) answers: The blue thread reminds us of the blue waters of the Mediterranean; the blue water is a reflection of the blue sky; the blue sky, in turn, is a reflection of the sapphire seat of God. Thus, by a chain reaction the blue thread reminds us of God's commandments," (pg. 16 of The Minhagim by Abraham Chill).