The 18-carat working loo was ripped from a wood-panelled room at the stately home, the birthplace of Sir Winston Churchill, in the early hours of Saturday.
Blenheim Palace chief executive Dominic Hare said Italian artist Maurizio Cattelan, who created the sculpture named America, was "mortified" by claims he had orchestrated its theft in a Banksy-style prank.
Mr Hare told BBC Radio 4's Today programme: "I think he would be mortified by that suggestion and has said so. That simply hasn't happened here.
"But he is right. He feels like he is in a heist movie and I think it took him quite a few minutes to comprehend that this had actually happened.
"He was mortified, shocked, praying that it was a prank and that it would come back. Now he's just reflecting, I think."
Some sceptics have been slow to accept the theft at face value, with the image of artist Banksy shredding his famous Girl With A Balloon painting at Sotheby's auctioneers still fresh in the mind of the art world.
He added: "You always take a risk in showing art. The safest thing to do with art, I suppose, is to put it in a strongroom and lock the door. We think that risk is worth taking."W
e have a sophisticated security system. We have no incidents of this type in living memory - but the truth is, this has happened and we are now challenged to look hard at ourselves and improve again."
Cattelan, 58, is understood to have attended a reception party at the 18th century Oxfordshire estate on Friday, marking his first UK solo exhibition in two decades.
The sculpture was the centrepiece of his new show, which opened on Thursday.
Thames Valley Police believe a gang of thieves using at least two vehicles were responsible for the theft, and a 66-year-old man arrested on Saturday remains in police custody.
Detective Inspector Jess Milne said on Sunday: "We are following a number of lines of inquiry and there will continue to be a police presence in and around the area of Blenheim Palace while our investigations continue.
"We are making every effort to locate the offenders and the toilet that was stolen."
Initial reports had said the golden toilet was worth an estimated £1 million, but Mr Hare said it has been valued at about six million US dollars (£4.8 million).
The sculpture hit the headlines last year after it was offered to US president Donald Trump by the chief curator of the Guggenheim in New York, its former home.