But he was not all doom and gloom. "I'm generally sanguine. We muddle through. I think some of this is an overreaction to the overreaction of assets being so swollen."
"This adjustment, certainly in equity prices, makes sense to me. If this is a slow-growth world and multiples are shrinking ... in a riskier environment, you kind of get to a S&P  that we're approaching now," he added, saying stocks are more fairly valued.
In his first interview since his cancer diagnosis and treatment, Blankfein told CNBC's "Squawk Box" the U.S. economy is not going off the rails — arguing the negative economic sentiment, which has led to the worst January for the stock market since 2009, is unjustified.
He said it's too early to judge the actions of the Federal Reserve, which needs to fight deflation.
It's difficult to navigate these "hard, difficult markets," but that's the role of Goldman's risk management, Blankfein said. "Not To pharaphase 'The Godfather,' but this is the life we chose."
Last week, Democrat Bernie Sanders — who has railed about the wealth gap during his presidential campaign — criticized Blankfein for supporting entitlement cuts in order to help balance the federal budget.
Blankfein told CNBC: "I didn't take it personally because we never met."
While refusing to disclose whether he's supporting Hillary Clinton, Blankfein spoke generally about what he called an "an odd moment" in American politics in which compromise is a liability.
Bald and without his beard, the 61-year-old Blankfein also talked about battling cancer. He said he's feeling "pretty good" after undergoing "like 600 hours of chemo" over the last few months.
He disclosed a lymphoma diagnosis in September.
"From the moment I got the diagnosis, I went about it and dealt with it. I was able to handle the meds pretty well," he said.
He also said he was also able to go to work. "Whatever I've been doing for the last 35 years, I must like." He added: "If I liked it before I got sick, I also liked it after I got sick. It was actually important for me to go to work."
Blankfein said he's done with his prescribed chemotherapy at this time. "I'm not reeling from the disease. I'm probably cured of the disease. Right now I'm trying to deal with the cure; dealing with the chemo solution."