It's the difference between atmosphere and clouds. Even on a clear day, the sun sets at a shade of red, right? That's because, as Brian noted, the angle of the sun is much more flat, relative to the sunset viewer. As a result, it has to cut through more atmosphere to get to the viewer. We're talking thousands of miles of atmosphere!
A cloudy day is very different. Clouds block reds to a certain extent, but allow more blues and UVs through. Plus, we usually aren't talking about more than a mile or so of cloud cover that has to be pierced. That's why you can get a sunburn on a cloudy day.
So, the difference between piercing thousands of miles of relatively thin atmosphere, versus a mile or so of heavier clouds, accounts for the difference. Hope that helps!
