There are certain companies that market "erasable" colored pencils, but I have seen plenty artists use them that find that they still don't erase perfectly or that they still smudge slightly while erasing. There's no perfect solution, due to the nature of pigments.
An alternative is looking at why you need to have a blue pencil for sketching.
Historically, certain shades of "non-photo blue" were used because photocopiers wouldn't pick them up, so as you'd layer your final lines and lineart on top of the blue undersketch, the blue wouldn't show up in your copy. This has led to what is, in my opinion, a bit of an obsolete tradition of using blue for undersketches.
Why obsolete? Because every modern scanner I've used in the past 15 years has had no problems picking up the non-photo blue pigments. The color you use is irrelevant, because Photoshop and GIMP can easily remove whatever color you use. You can even use multiple colors, ending with your grey/black final lines.
As you're practicing, you're going to want to erase a lot if you're making large mistakes, but needing to have a highly-erasable undersketch might indicate that you could improve your workflow.
For instance, many artists will do their initial messy sketches as thumbnails or smaller-scale pictures, in order to figure out proportions, layout and composition. Using simple graphite pencils, it's easy to erase and experiment. Alternatively, if your thumbnails are small enough, mistakes can be "discarded" by simply starting a new thumbnail next to it.
After the design and layout is decided, you would then pull out the pencil, colored or otherwise, that you'd use for the undersketch. Since you're generally just up-scaling your thumbnails, there's less mistakes in positioning lines and thus a lower need to erase them.
Okay, use one anyway!
All that said, (non-photo) blue pencils still work great for many artists! There's nothing wrong with it. But if the "erasable" types, like Prismacolor's Col-Erase line, are still too difficult to work with, there are two more things to try.
- Practice line control. You could be making your lines darker than necessary. This is both a physical and mental issue. The physical part is gaining the fine motor control to make light enough lines. The mental part is being okay with not having dark, clear lines. Both require practice and training to overcome.
- Try a different type of eraser (link). Some types of erasers simply don't work well for certain media.