In an interview with The Daily Telegraph, Blair said anger at the banking industry could put the country on the wrong path. He said the country will not be better off "if we hang 20 bankers at the end of the street."
Blair, whose "New Labor" strategy helped his party win three successive general elections, adopted many of Conservative Prime Minister Margaret Thatcher's free-market principals.
"Don't take 30 years of liberalization, beginning under Mrs. Thatcher, and say this is what caused the financial crisis," he said.
His remarks appeared to be a warning to political leaders, especially Ed Miliband, the current Labor leader: "We mustn't go back to the state running everything."
Instead he called for a change in values.
"We must regain the basic values of what society is about," he said. "We're not against wealth, but we are in favor of social responsibility."
Blair serves as an adviser to the U.S. financial firm J.P. Morgan and the Swiss company Zurich.