He told the BBC that the palace, the birthplace of wartime leader Winston Churchill and a UNESCO World Heritage site, had a sophisticated security system.
But he added: "Clearly we need to challenge ourselves on that."
He also said it was "not out of the question [that it] would be melted down" by the thieves.
The gang, who had at least two vehicles, left behind flooding that damaged the building.
Police arrested a 66-year-old man who remains in custody, and said Sunday they were still following a number of lines of enquiry.
The toilet was one of the star attractions in an exhibition of Cattelan's works, with visitors able to book three-minute time slots to use it.
When the work was on display at New York's Guggenheim museum, more than 100,000 people lined up to use the loo during the course of a year.