Because the Red Planet's atmosphere "scatters red":
Martian dust is exactly the right size to absorb the blue wavelengths of light and scatter red wavelengths all over the sky. That's why if you are standing on Mars and look away from the setting sun, most of the sky is rosy, pink, and various shades of red. But now look straight at the setting sun. On Mars, the beams of light streaming toward you, having lost their red waves, show the wavelengths that haven't scattered off. That remaining light is predominantly blue. So when you look straight at the sun on Mars, you see a haze of blue. Look away from the sun, and the light is red. It's exactly the opposite on Earth.
(Photo: Mars Exploration Rover Spirit captured this stunning view as the sun sank below the rim of the Gusev crater. The filter combination used to take this image allows false colour images to be generated that are similar to what the human eye would see, but with the colours slightly exaggerated. Because Mars is farther from the Sun than Earth is, the Sun appears only about two-thirds the size that it appears in a sunset seen from Earth. By SSPL/Getty Images)