@Satish Rawat,
This saying is very untrue and rubbish. I can confirm this as I am gemologist. 🙂
However, if you put cow’s pure milk on blue sapphire (neelam) and if it turns blue then consider your stone being dyed (treated). So, please don’t bother about these old sayings which we frequently encounter in India. What one should do is, to get their gemstone certified from a trusted gemological lab.