I wonder if this has to do with the position of cones in the eye but more likely the red light is coming to a focus slight in front of the blue wavelength so the blue circle looks further away.
It would be interesting to reverse the red and blue to see if the same holds.
I spent like an hour going down a rabbit hole on this and I'm convinced it is due to chromatic aberration within the eye lens and that some people may not see the effect due to being far/near sighted.