Our science goals are to characterise the optical properties of Y dwarfs and to study their consistency with theoretical models. A sample of five Y dwarfs was observed with three optical and near-infrared instruments at the 10.4\,m Gran Telescopio Canarias. Deep near-infrared ($J$- or $H$-band) and multicolour optical images ($z$-, $i$-, $r$-, $g$-, $u$-bands) of the five targets and a low-resolution far-red optical spectrum for one of the targets were obtained. One of the Y dwarfs, WISE J173835.53+273258.9 (Y0), was clearly detected in the optical ($z$- and $i$-bands) and another, WISE J182831.08+265037.7 (Y2), was detected only in the $z$-band. We measured the colours of our targets and found that the $z-J$ and $i-z$ colours of the Y dwarfs are bluer than those of mid- and late-T dwarfs. This optical blueing has been predicted by models, but our data indicates that it is sharper and happens at temperatures about 150 K warmer than expected. The culprit is the K I resonance doublet, which weakens more abruptly in the T- to Y-type transition than expected. Moreover, we show that the alkali resonance lines (Cs I and K I) are weaker in Y dwarfs than in T dwarfs; the far-red optical spectrum of WISE J173835.53+273258.9 is similar to that of late-T dwarfs, but with stronger methane and water features; and we noted the appearance of new absorption features that we propose could be due to hydrogen sulphide. Last but not least, in 2014, WISE J173835.53+273258.9 presented a bluer $i-z$ colour than in 2021 by a factor of 2.8 (significance of 2.5sigma ). Thanks to our deep optical images, we found that the 2014 $i$-band spectrum was contaminated by a galaxy bluer than the Y dwarf. The optical properties of Y dwarfs presented here pose new challenges to the modelling of grain sedimentation in extremely cool objects. The weakening of the very broad K I resonance doublet due to condensation in dust grains is more abrupt than theoretically anticipated. Consequently, the observed blueing of the $z-J$ and $i-z$ colours of Y dwarfs with respect to T dwarfs is more pronounced than predicted by models and could boost the potential of upcoming deep large-area optical surveys regarding their ability to detect extremely cool objects.
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