Blankfein—who appeared on CNBC's "Squawk Box" in an interview from the World Economic Forum in Davos, Switzerland—did caution that emerging market currencies are high yield but also high risk.
"If somebody said, 'Take a position on the emerging markets and you can't change your mind for fill-in-the-blank—one year, five years—I'd be long, not short. It doesn't mean I'm going to feel good about it," he said.
(Read more: It's getting ugly in emerging market currencies)
The emerging market currency risk has become a macro event, he added. "All of these countries that are far apart on the globe are very close in investors' minds."
Blankfein stressed that over the longer term, there are opportunities in emerging markets. "You see growth, education, mobility in these countries. Basically, the flattening of the world has given tremendous opportunities in these countries."
For example, the Goldman chief said Mexico feels like a different and energized place now—and together with the U.S. and Canada, there's a big opportunity in North American energy production.