High frequency waves, like blue color, travel the slowest in any given medium, compared to the low frequency waves like red color. (except for in vacuum, in which they all travel with the same speed)
Thus, high frequency waves aka blue color, bend more (more refraction or more refractive index) compared to low frequency waves aka red
Thus when incident on a convex (or concave) lens, blue color would bend more and thus converge (or diverge) closer to the lens. Hence, blue color would have a shorter focal length, compared to red color.