We compare (V-I)_0-(V-K)_0 color-color and (V-I)_0-log P period-color diagrams for Baade's Window and local RRab Lyrae stars. We find that for a fixed log P the Baade's Window RR Lyrae stars are ~0.17 magnitudes redder in (V-I)_0 than the local RR Lyrae stars. We also show that there is no such effect observed in (V-K)_0. We argue that an extinction misestimate towards Baade's Window is not a plausible explanation of the discrepancy. Unlike Baade's Window RR Lyrae stars, the local ones follow a black-body color-color relation and are well approximated by theoretical models. We test two parameters, metallicity and surface gravity, and find that their effects are too small to explain the (V-I)_0 discrepancy between the two groups of stars. We do not provide any explanation for the anomalous (V-I)_0 behavior of the Baade's Window RR Lyrae stars. We note that a similar effect for clump giant stars has been recently reported by Paczynski and we caution that RR Lyrae stars and clump giants, often used as standard candles, can be subject to the same type of systematics.