Because our atmosphere scatters blue light more than other colors of light. However I don't know if the nitrogen, which comprises 78% of our air, or the oxygen (21%) contributes more to the scattering.
I have some yellow-tinted sunglasses that block out part of the blue. And when I go outside, my vision is slightly sharper with these, as compared with generic sunglasses. Why? Decreasing the scattered blue light makes the boundaries of objects--trees, houses, etc.--appear to be somewhat less fuzzy.