What do you mean by "blow up"?
Are you sure you are not confusing the cfquery tag blowing up with the <cfoutput query=> tag? Assuming your server has sufficient ram/power etc and your sql is kosher, your cfquery tag shouldn't "blow up". On the other hand, outputing a large record set to a client could have the appearance of something blowing up.
In the case of outputing a large amount of records, you will want to implement multiple pages to view the results.