In an article in Set Decorator Magazine, production designer Pan Lai explains how they came up with the palette for the movie.
“Fortunately, the descriptions in the original short story also offered a direction for our palette:
‘…Her sleeveless cheongsam of electric blue moirĂ© satin…
image source
A brooch fixed to the collar matched her diamond-studded sapphire button earrings….’Therefore, I chose a blue color tone as the key theme for Lust, Caution and let the lead female character, Wong Chia Chi, take it throughout the movie’s time and space.
image sourceThe color red was reserved for only a few places, to protect its volatile nature. It appears in the oleander outside Wong’s room in Hong Kong, on Wong’s lipstick in Shanghai, on the nail colors of the film’s married women characters, as key accessory points in the Mahjong scenes and—in pink—on the six-carat diamond ring that is so important to the climax of our story.” (source)
I find it fascinating to read about the underlying design motives for color decisions in movies. Next time you are watching a movie, test your attention to detail and see if you can pick out the color themes. It's a fun way to sharpen your color sensitivity.