One cause for concern is a possible trade war with China, Icahn said. Trump has questioned Chinese investment in the U.S., and has threatened to impose a tax on Chinese goods and label them as a "currency manipulator."
"If you get into a trade war with China, sooner or later we'll have to come to grips with that," he said on CNBC's "Fast Money Halftime Report." "That's not my decision at all."
He said: "I remember the day something like that would really knock the hell out of the market. But maybe if you're going to do it, you should get it over with, right?"
Since Trump won the presidential election, stocks have risen sharply on optimism of potential tax cuts and deregulation of certain sectors. Icahn said Thursday that he's "very hedged" on the markets.
"As the market has been running up like this I've become more hedged," he said. "That being said, I still buy things I think are very cheap."