diff --git a/pandas/core/window/rolling.py b/pandas/core/window/rolling.py
index 0306d4de2fc73..966773b7c6982 100644
--- a/pandas/core/window/rolling.py
+++ b/pandas/core/window/rolling.py
@@ -318,7 +318,7 @@ def __repr__(self) -> str:
 
     def __iter__(self):
         window = self._get_window(win_type=None)
-        blocks, obj = self._create_blocks(self._selected_obj)
+        _, obj = self._create_blocks(self._selected_obj)
         index = self._get_window_indexer(window=window)
 
         start, end = index.get_window_bounds(