Do All Animals Have Red Blood?
The color of blood is related to the compounds that transport oxygen. Hemoglobin, containing iron, is red and found in all vertebrates (animals having a backbone) and a few invertebrates (animals lacking a backbone). Annelids (segmented worms) have either a green pigment, chlorocruorin, or a red pigment, hemerythrin. Some crustaceans (arthropods having divided bodies and generally having gills) have a blue pigment, hemocyanin, in their blood.
[Source : The Handy Science Answer Book]