Lyric discussion by Rob Matter 

Cover art for Blue lyrics by A Perfect Circle

I think this song refers to a girl that he loved who was having an affair, possible with someone who was also his friend.

"I just didn't want to know" "Ignore the smoke and smile" He may have known something wish fishy, veiled in "smoke" but choose to ignore it.

"Mistook their nods for an approval" This is my biggest hint for the affair, rather than a drug addiction or suicide, which are also good theories. He may have seen the two together, saw them "nodding" at each other, and thought it was just being friendly while they were actually nodding to affirm what they may had been doing the night before.

As for the turning blue part, I have no doubt that she's dying or dead. He himself may have killed her when he finally came to realize what was going on.

This is what I was thinking after listening to this song a few times. I think it is fairly obvious that he is the one who "killed her." The affair part is not quite as obvious, though, makes sense. It could be any number of things. Whatever was mistook by the narrator, the narrator definitely did the killing. Great interpretation Rob