This isn't any kind of real science, just so we're clear. It's complete handwavium.
Let's assume your creature (and us) exist in some weird space with extra dimensions even the String theory people haven't tried out. Your creature is made of stuff that mostly exists in an extended form in different dimensions from the ones we mostly exist in. But ordinary light shares some overlapping dimensions.
Now ordinary light (photons) is a particle(and wave) that mediates the electromagnetic force, and as it happens solids we know and love (like glass) are solid because of good old electromagnetic forces.
So while your other mostly dimensional creature is not going to interact much with us, it is going to be affected by traveling through solids, like glass. It's going to (maybe) be refracted.
It can't actually be stopped by glass or other solids because its like quantum particles that are entangled between dimensions (think long range bell's theorem) so that means the particles from that dimension cannot be stopped with particles from ours, just weakly scattered (weakly interact).
Well it's also energy in some form, so it's affected by gravity. If it's got mass it could even be able to be affected just like we are.
Why does it appear blue? Well it eats something (that's only in it's dimensional subset) and it radiates energy that's mostly in the blue spectrum. It's probably a faint blue appearance, ghost-like, because we don't want to waste a lot of energy generating light.
So it can be seen by us, detect us, possible radiate different shades of blue (different wavelengths) in some ways to communicate with us. It can be affected by gravity and walls and corridors (because it's affected by EM fields), but it has the option of walking through stuff if it doesn't want to politely observe our walls and doors (or just forgets to because in its dimension things are different).
And that, ladies and gentlemen, is as much hand waving the laws of physics as I'm prepared to outline today. May Mighty Atheismo forgive me.