"The luxury of a steady, calm, quiet market" might last for a while, but it can't last forever, he said in a "Squawk Box" interview.
"At the end of the day, it's not a normal condition to have interest rates at zero," he said. "Eventually people will acknowledge higher [economic] growth. Money as a commodity will start to cost something again. ... That itself will produce a shock to the market."
Blankfein said there's always a risk "some exogenous event ... that's going to cause people to have to reset their portfolios."
One such exogenous event could come from politics.
Blankfein said he was stunned by House Majority Leader Eric Cantor's GOP primary defeat by tea party-backed Dave Brat. He called Cantor, the No. 2 Republican in the House, a "sensible politician."
Blankfein said he hopes the Cantor loss does not prevent compromise in Washington on key issues such as the federal budget and immigration reform.
"I don't look forward to a time when every politician, every legislator goes to Washington absolutely committed to an extreme point of view," he said. "Elected representatives are sent to Washington to compromise, not to never compromise."
"We're going to have to go through this cycle and get to the other side," he continued, "or else we'll diminish as a nation."
Blankfein appeared on "Squawk Box" from Goldman's North American Energy Summit in New York. He said that U.S. regulatory uncertainty is holding back building out American energy capabilities for the future.
"We have the opportunity to be energy sufficient in North America," he asserted. "Think about how the last 40 years would have played out had we not needed energy from all those difficult places in the world."
Earlier on CNBC, Goldman's head of commodities research, Jeffrey Currie, warned that the economic benefits of tapping U.S. energy resources could be squandered under the weight of a lack of reinvestment in infrastructure and manufacturing.
"These problems share a common solution. And that's a well-defined, clear, credible, and durable energy, environment and transportation policy," Currie said.
Failure to act over the next decade risks the creation of more than 2 million new jobs, 1 percent of additional GDP growth and at least a 5 percent incremental reduction in greenhouse-gas emissions, he said.