I'll give two separate explanations, one in Yogic parlance and another in deeper Kabbalistic parlance:
1) Each chakra actually has three separate colors. One color for the etheric body, one for the astral and one for the mental.
2) The color blue is generally given to the ajna chakra especially by new-agers who believe it corresponds to the moon sphere or to the planet saturn (as many new-age groups have tried to arrange the chakras according to the planets and unsuccessfully at that!). However, the Ajna Chakra is a level of divine flux just below that of the brilliantly white Sahasrara Chakra and thus bears the same relation to it as the Sephirah Chokmah does to Kether. Therefore it is given the color of grey in the mental body according to its divine nature. In Ajna, Shiva is still with form and is not Brahman yet, as with Chokmah the light of Kether is now taking shape and thus looses some of its divine effulgence. The grey is this slight "stain" of reducing infinity to a shape. It is still divine, but not as wholly pure as its predecessor. In actuality, the two petals around the lotus of Ajna represent the two hemispheres of the brain around the pineal gland and the two Sephiroth of Binah and Chokmah respectively. There are several other Kabbalistic secrets of the Ajna chakra which can't be expounded upon here publicly. In short, it is given gray because that is the color of Chokmah in relation to Kether. The state of consciousness experienced in the Ajna Chakra during Savikapla Samadhi is similar to that experienced in Chokmah.