There are many stories behind this but I am just amazed ;How Lucky Peacock Feathers are!
The first reason is the belief that, the peacock is the only creature in nature that observes complete chastity in life. When he is happy, he dances with his wings and his eyes are filled with tears, Peahen drink these tears & conceives. Peacock does not have, even a tinge of lust in his heart.
The peacock feather contains all the seven colors in it. The entire universe is covered by akasha(ether) which appears blue in day times and black in night. So lord Krishna is identified by both the colors 'Blue' (neela) & 'Black' (shyaama). Krishna paksha in Indian calender means the days that follow after Full-moon day till the New-moon day i.e, the darker phase of 14 days of the moon. Further, he wears the peacock feather which signifies that the entire range of colors (we mortal beings) is in him. In virtue he is colorless but in the day he appears blue, black in the night to our vision and in between make us discuss all this mulch-coloured multi-perceptional views.
The peacock feather signifies the exuberance of nature. Sri Krishna wears a peacock feather that reminds us of his play with the gopas and gopis of Sri Vrindavana. The male peacock especially has long been a symbol of romantic love, and the rasalila episode of Sri Krishna's life teaches us how this kind of love may be directed to God.