A Blue Notice is definitely a warning sign that you are under the radar. It often precedes a Red Notice if they gather enough data. You can definitely challenge it if you believe the underlying investigation is illegal or violates human rights. From what I have seen, it is better to act now before it escalates. Check out www.humanrights-lawyer.com for some guidance on this. They have experts who deal with Interpol data protection rules. In our case, we had to show that the information being sought was for an unfair trial. It is a slow process but being proactive is the only way to protect your freedom of movement. Don't let them just track you without a fight.