McMahon appeared Sunday on ABC's "This Week With Christiane Amanpour."
Blumenthal told Amanpour his lead evaporated due to McMahon's self-financed campaign, which he called a "$50 million negative attack machine."
Questioned about criticism that World Wrestling Entertainment degrades women in the ring, McMahon said programming changed to PG, or parental guidance suggested. It previously was TV14, or "parents strongly cautioned."