At the very least, I would ask the officer in a calm and professional manner "why" it's being confiscated, if for nothing else than future reference. You could even ask where it's posted so you know all of the rules.

If you are taking it into a prohibited area, ask if you can ship it to yourself or leave and drop it back in your car, etc. If it's a $20 knife, then yeah... maybe it's not worth the hassle. At the very least, ask what precinct you can go to to pick it up after his shift is over or where you can get it as it is YOUR property. If they have no such facility in place, I guess you start writing letters - after the fact. Of course, if you are willing to fight and stand up and put up with all the crap, you could fight this tooth and nail all through the courts. Just pick your battles well. :-)

At my local airport they give you the option of shipping back an item to yourself for $5 (the price has probably gone up) and I took advantage of it when I once forgot my LMWave was in my laptop bag. Totally worth it for such an item.