Ok to call a friend a nickname he doesn't like?

I have a friend who is a few years older than the rest of us. He isn't old by any means, but since he is the oldest, my friends like to call this guy "Blue." When they see him, they always say things like "You're my boy Blue!" This is based on the movie Old School, when that really old guy joined the Old School fraternity. Anyways, my friend - "Blue" doesn't like the nickname. I have stopped calling him this but my other friends continue it. Should I do anything to stop them or just let it be?