Colocalization Finder
is an excellent interactive tool for looking at colocalization.
ImageJ 1.52q with Java 1.8 on a Win10

Description from the original webpage: "This plugin displays a correlation diagram for two images (8bits, same size). Drawing a rectangular selection on this diagram allows you to highlight corresponding pixels on a RGB overlap of the original images, and if selected, on a 3rd image. Analysis can be restricted to pixels having values with a minimum ratio."

On the scatterplot, drawing a rectangle or overlapping reactangles (use Shift key) or an oval or overlapping ovals (use Shift key)and then clicking in the ROI results in a reporting of statistics for this region.

Using the shift key to add a first point for the second ROI and then releasing it, followed by completion of the ROI, the pixels that are not correlated are highlighted. However, statistics are not reported for this type of ROI.

Here they are reported well:

A problem is that when drawing the ROIs, the exact value for setting a threshold is not shown.The XY location is shown, but this is the pixel location, not the intensity value.

However, personal communication from the author:
"I made a "more advanced" version of the plugin that you can download under the following link:
where you can additionally define the position of the analysis ROI within the scatter plot (this feature was needed by a colleague)."

Example macro commands:

run("Colocalization Finder...", "image_1=[MAX_D4_PYCR2_012 MAX34 enh.tif] image_2=[MAX_D4_PYCR2_012 MAX45 enh.tif] specify_minimum_ratio_(0-100%)=0");
makeRectangle(83, 19, 233, 235);