Q:

How to draw a figure behind the axis in TikZ? 

I have this code:
\begin{tikzpicture}[scale=0.75]
    \begin{axis}[axis lines=center,xmin=-1,xmax=9,ymin=-1,ymax=9,line width=0.4mm]
        \pgfplotsset{xlabel={$x$},ylabel={$y$}}
        \draw[fill=blue!40,line width=0mm] (5,-0.5) rectangle (8,0.5);
    \end{axis}
\end{tikzpicture}

I try adding on layer=axis background to the draw command, but unfortunately it does not work because it must be inside to the addplot command. 
I do not want to put the rectangle in the tikzpicture environment, because that forces me to change the values of where it is.  Is there any way to put a figure (rectangle, circle, etc.)  within the axis environment and that is behind the axes? 
Thanks! 

A:

Axis background seems to work, I also added a simple way to smuggle coordinates outside the axis environment, even though it is not needed here.  BTW, depending on your plot, you may want to add set layers, cell picture=true. 
\documentclass{article}
\usepackage{pgfplots}
\pgfplotsset{compat=1.15}
\begin{document}
\begin{tikzpicture}[scale=0.75]
    \begin{axis}[axis lines=center,xmin=-1,xmax=9,ymin=-1,ymax=9,line
    width=0.4mm, axis background/.style={%
                preaction={
                    path picture={
                        \draw[fill=blue!40,line width=0mm] (axis cs:5,-0.5) rectangle (axis cs:8,0.5);
                    }}}]
        \pgfplotsset{xlabel={$x$},ylabel={$y$}}
        \coordinate (BL) at (5,-0.5);
        \coordinate (TR) at (8,0.5); % just to export the coordinates outside
%the axis, not needed here
    \end{axis}
\end{tikzpicture}
\end{document}

