Is there any evidence that language is the limit of the world? Philosopher Wittgenstein says that "the limit of my language means the limit of my world". One theory that supports this statement is that people couldn't see the blue colour until they have the word blue. However, it has been proven to be false in Skeptics: Could people perceive the color blue in ancient times? 

So, is there any scientific evidence that prove (or at least agree with) this statement?
This is not quite your question, but it's the closest thing I know of.  There's a significant amount of work suggesting that purely morphological attributes can shape conceptualization: looking at the impact of grammatical gender on the attributes assigned to the nouns that have a specific grammatical gender--that is, grammatically male nouns are rated higher on stereotypically masculine attributes and lower on stereotypically feminine attributes.  You could argue that morphological sway on the semantic content of the noun is a "limit", I suppose.

Some studies have done nice pairing of languages to demonstrate reverse effects on the same nouns according to different grammatical gender. If you're interested in reading the studies, Konishi 1993 is a good place to start.