Cellulose does not give blue colour with iodine because 

Cellulose is a polymer of glucose subunits linked together by (14) glycosidic bonds. It is a major structural component of plant cell walls. Cellulose does not form a blue colour with iodine because it does not contain complex helices.
(1) Cellulose does not react with iodine in a way that results in its breakdown.
(2) Cellulose is a polysaccharide.
(3) Cellulose is a linear chain of ß glucose molecules. It is does not form helices (secondary structure).