In an ideal world, dyed yarns would never bleed. In this world, sometimes they do. Jasmin from The Knitmore Girls Podcast and Countess Ablaze Yarn have some advice of how to stop it from happening at their respective links (and it applies to commercially-dyed yarns as well as hand-dyed).
Fabric softeners are not recommended for handknits because of colourbleed (and because they can soften fibres enough to slide about and cause garments to lose shape).
Have your fingers ever been stained blue whilst knitting? That may not necessarily be that the dye has not been set, it may be your skin chemistry reacting with the yarn and pulling dye out so if you use hand lotion, you could try changing it.