Russia has said it may close its main gas pipeline to Germany if the West goes ahead with a ban on Russian oil.
The US has been exploring a potential ban with allies as a way of punishing Russia for its invasion of Ukraine.
Deputy Prime Minister Alexander Novak said a "rejection of Russian oil would lead to catastrophic consequences for the global market", causing prices to more than double to $300 a barrel
But Germany and the Netherlands rejected the plan on Monday.
The EU gets about 40% of its gas and 30% of its oil from Russia, and has no easy substitutes if supplies are disrupted.
In an address on Russian state television, Mr Novak said it would be "impossible to quickly find a replacement for Russian oil on the European market".
"It will take years, and it will still be much more expensive for European consumers. Ultimately, they will be hurt the worst by this outcome," he said.
Pointing to Germany's decision last month to freeze certification of Nord Stream 2, a new gas pipeline connecting the two countries, he added that an oil embargo could prompt retaliation.
Russia is the world's top producer of natural gas and second top producer of crude oil, and any move to sanction its energy industry would badly damage its own economy.
Ukraine has implored the West to adopt such a ban, but there are concerns it would send prices soaring. Investor fears of an embargo drove Brent crude oil to $139 (£106) a barrel at one point on Monday - its highest level for almost 14 years.
Average UK petrol prices also hit fresh record of 155p a litre.
Brent crude - the global oil benchmark - rose by 3.7% to more than $127 a barrel in Asia trade on Tuesday.