I have a black, blue, green, and white wire coming from a ceiling fan. I have three black and 2 white in the outlet box. How do I wire this?

Your black in the ceiling box are all hot and can be wire nutted together and the whites are your neutral so nut then together. Now the fan sounds like it may have a light kit due to the blue, is there a light? So does this fan have pull chains or a remote you plan to install?

Your black in the ceiling box are all hot and can be wire nutted together and the whites are your neutral so nut then together.Are you sure? What if a switch is in the mix?

Yes

There is switch on the wall

Stan is correct, I may have jumped the gun without having you test the blacks, they should all be your hot blacks but test with w test light or meter. Your yes I assume is yes to a wall switch, are there 2 switches together or separated to separte switch boxes? Red may be your control for the light or it could be a 3 way switch.