This is normal because in the day time, the sky is usually the brightest part of the scene.

If you lower the exposure by applying negative exposure compensation, your sky will get darker and more blue. This will cause other elements in the image to darken and some may end under-exposed. This is because a change in exposure is global.

What you need is to change the relative brightness of the sky compared to the foreground using one of these techniques:

1. Come back later or earlier during the golden hour. That is the period of time when the sun is within 6 degrees of the horizon. This is the ideal solution in terms of exposure.
2. Use a circular polarizer. This darkens the sky to varying degree depending on the angle of the sun relative to where you point the camera and the amount of moisture particles in the air.
3. Darken the exposure, use flash to brighten the foreground. This only works for foreground subjects which are sufficiently close and small to be lit be the flash.
4. Use Exposure-Fusion or HDR followed by tone-mapping. These are techniques to obtain an image from multiple exposures. You really need a static scene with no moving subjects for this to be easy.
5. Use a Graduated Neutral Density filter (GND). This works by darkening a portion of the image as long as the division between sky and foreground forms a straight line. Otherwise it looks unnatural. Great for shooting shoreline and beaches though.