Electricty obeys the same general equations as mechanical things. That is why you can build electrical analogues of mechanical systems to test them out. Mechanical things with mass posess something called inertia, which to put simply is a masses resistance to change in velocity. Electricity has a similar attribute. When you open a circuit like the power to an AC unit, which has a motor in it and therefore a high inertial component (I am simplifying here), the electricity does not want to stop its flow instantaneously, in fact it can't. The voltage builds up at the break point in the circuit (the relay contacts) until it exceeds the breakdown voltage of the resistance which is stopping the flow. In this case the air bewteen the relay contacts. The blue spark you are seeing is the arc as the elctricity ionizes the air. It is bad for the contacts, not particularly dangerous since it is inside the relay module, and "natural" when turning off heavy loads. Why it doesn't happen when turning them on is a bit more complicated but basdically there is not a sudden change in state but a more gradual one which is able to be absorbed by the system without arcing.
