NASA says "dust in the Martian atmosphere has fine particles that permit blue light to penetrate the atmosphere more efficiently than longer-wavelength colors. That causes the blue colors in the mixed light coming from the sun to stay closer to sun's part of the sky, compared to the wider scattering of yellow and red colors. The effect is most pronounced near sunset, when light from the sun passes through a longer path in the atmosphere than it does at mid-day."
NASA Astronomy Picture of the Day (APOD) compared the Martian sunset to an Earth sunset on May 12, 2015 in the two below pictures. In addition to the bluish color, another big difference is the size of the sun in the photos.
APOD says "these images were scaled to have same angular width and featured here side-by-side. A quick inspection will reveal that the Sun appears slightly smaller from Mars than from Earth. This makes sense since Mars is 50% further from the Sun than Earth."
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