I had recently read an article that the possibility of having natural blue rose is extremely rare because of the absence of delphinidin in most roses. Are all blue roses just a product of cross-breeding?
There are no roses (that is, flowers of genus Rosa species) that naturally express a "true" blue color. Through cross-breeding, there are lilac-mauve rose horticultural varieties ("Blue Nile","Blue Moon","Lady X", etc.), and through genetic engineering (actually inserting delphinidin-producing genes) there are mauve-lavender varieties ("Applause").
Wikipedia article Blue Rose gives good coverage.