Well, not always, but if your shadow is the right color and texture, by all means use it as a blush!
I discovered this fantastic used for shadow when I bought MAC Eye Shadow in Sushi Flower, a bright candy pink shadow, even though I rarely wear pinks on my eyes. Sushi Flower has been sitting in my makeup bag for ages and I finally realized that the candy pink would look gorgeous as a spring blush.
I tried it out and here are the results -
Try it out yourself and let me know what you think! Brightly colored shadows in a range of pinks, corals and peaches will no doubt look beautiful. Make sure colored shadows are in a matte or satin formulation - definitely nothing too shimmery. Additionally, you can use a finely milled champagne or gold shadow as a cheek highlighter!