Cramer said Wall Street expected that the Fed wouldn't need to raise rates too aggressively after this month's weaker-than-expected jobs report, which showed nonfarm payrolls increasing by 164,000 in April, less than the 192,000 jobs expected. Average hourly earnings also rose less than expected.
But Cramer said that now he's worried the central bank could raise rates faster than expected after the release of U.S. jobless claims data by the Labor Department on Thursday morning.
"The four-week moving average of these numbers fell by 2,750 to a little over 213,000," the "Mad Money" host said. "That's the lowest jobless claims figure since December 1969, when we had a 120 million fewer people in this country."
The four-week moving average is viewed as a better measure of labor market trends as it irons out week-to-week volatility.
The Fed, led by Jerome Powell in his first meeting as chairman, approved a widely expected quarter-point hike in March. The decision put the new benchmark funds rate at a target of 1.5 percent to 1.75 percent.
The probability that the central bank will raise its benchmark rate at its FOMC meeting in June is at 95 percent, according to the CME's FedWatch tracking tool for the fed funds futures market.
Cramer acknowledged that the U.S. economy needs higher interest rates to stave off inflation. However, Cramer added that higher rates also make it more expensive to borrow money and thus slow down the economy.
"In other words, when the economy gets too hot, we have these mechanisms in place that will cause it to cool back down, and that's where you might get hurt," Cramer said.