In fact, Cramer did not trust the market rally on Monday. Somehow, all of the indicators that would normally be bad news for the averages ended up being good news, which was a red flag to Cramer that this rally is not sustainable.
Monday's market activity prompted interest rates and oil prices to rise, the dollar gained strength versus the euro, financial stocks rallied and biotech stocks were crushed.
"How did these things suddenly become good? Because this market is trying to find a base, trying to find its footing where it doesn't go down every day and where segments that have been hit hard can attempt to rally," the "Mad Money" host explained.
So what does all of this irrationality in the market mean?
It is making investors uncertain and driving people away. In fact, when the market makes no sense to a guy like Cramer, it makes him want to sell into strength, not buy, he said.
"As long as stocks don't act rationally, as long as the inputs produce the wrong outputs, I'm going to urge you to have one foot out the door at all times," Cramer said. (Tweet This)
Just as the decline on Friday proved to be unsustainable and based on nothing, Cramer warned that Monday's advance will most likely be unsustainable for the same reasons.
Read More Cramer's warning: This market is unsafe, unstable
One example of an unsafe stock was on Thursday when La Quinta, a company that Cramer has liked for a long time, was hit with disaster—ultimately causing Cramer to throw his entire bull thesis for the stock out the window.
La Quinta Holdings is the select-service hotel chain with about 870 locations. The "Mad Money" host has recommended the stock multiple times, largely because of the positive commentary from the company's long-time CEO, Wayne Goldberg.
That was until last Thursday, when Cramer was hit with two jarring surprises from the company.
First, the CEO announced he was stepping down effective immediately. La Quinta did not cite a real reason for the exit; Goldberg simply said he had fulfilled his goals and it was a good time to look for new opportunities.
The second blow came when La Quinta cut its full-year financial guidance for the second time in two months. It had a vicious downward revision of its revenue per available room, guiding to a range of 3.5 to 4.5 percent from 6 to 7 percent.
On top of that, the company cut its earnings before interest, taxes, depreciation and amortization forecast to a range of $393 million to $400 million, down from $398 million to $404 million. It blamed weaker-than-anticipated hotel demand during August and September.
"At this point, I have to tell you that I think it's not too late to sell La Quinta. In fact, if you own this stock my recommendation is that you run—don't walk—away from it," Cramer said. (Tweet this)
Read MoreCramer: I was wrong—run far away from this stock