This is a myth. The raw channels behave totally equally regarding noise. (As long as the camera does not meddle with the raw data, but that's a different issue.)
The noise is caused by low pixel intensity, and in the sky always the red channel is the lowest.
Look at the attached captures; they show a segment of the sky from a 5D shot (of Mark MacCalmont). The blue is 4.72 EV under clipping (i.e. it is in the fifth stop of the DR), the noise is only 3.57%. The green is comparable; however, the red is 2 EV lower, with noise 7.17%, just twice as high as in the blue channel. (Note, that this is a very low noise level.)
Just to add to Gabor's post, here are some data from Nikon D3. This is from base ISO showing clear blue sky using 14 bit lossless compression. The exposure was not to the right as much as one would like, as shown in this rawnalize shot. The green is more than a stop below clipping. The white balance coefficients are shown.
[attachment=16655:033_raw_histo.png]
And here are noise data on the raw channels. Contrary to popular belief, noise is greatest in the highlights--i.e. it increases as the square root of luminance. The datum of interest is the signal:noise, which is highest in the blue channel.
[attachment=16656:033_raw_histo_sky.png]
[attachment=16657:graph.png]
Mark is correct in stating that the blue channel is usually underexposed and has a lower S:N. With the D3, the blue multiplier is about 1.36 for daylight. With tungsten, which has very little blue, the underexposure is even greater. However, in the case of bright blue sky the blue has a high luminance in the scene and there is no underexposure as Gabor notes. Even without ETTR, the noise in the sky is hardly visible, as shown in this 100% crop.
[attachment=16659:sky_crop.png]