All of the other answers are good.
I want to have a blue furred species native to a desert in the world I'm building, so the obvious way to have that is to have the sand of that desert be blue so they are camouflaged. I could just say the sand is blue and be done with it, but I'd rather have an explanation for why the sand is blue.
There are lots of reasons there might be a blue-furred animal. Saying it's to camouflage with a desert will require lots of blue sand, but that's ok because there are lots of reasons why the sand might be blue.
If you're trying to tell a story, consider how deep into this you really want to go.
Also consider from the other angle: Why aren't there blue-furred animals on earth? Why might those reasons not apply on some other planet?
I don't have a great link for this; here's something. Basically, making a molecule that's inherently blue and is stable in an animal's body is pretty hard. The best way to shift this balance is probably to supply a relative abundance of metals and natural non-biologic blue pigments in the environment, i.e. have there be lots of blue rocks.
Basically, where X is whatever blue mineral or minerals,
- Animals are blue (or able to be blue pending evolutionary pressure) because they have traces of X in their diet.
- The X in their diet comes from sand/grit from the local geology.
- The local geology has lots of X in it (and is therefor relatively blue) because that's just how that region of that planet is. You can chase it up to stellar phenomena billions of years prior, but to what end?