Although no SR-71 Blackbird (aka Habu) was lost during service, it is not true that none were intercepted. The MiG-25 Foxbat could see it, but could not get to it and it's R-40 missiles were inadequate anyway. But with the introduction of the MiG-31 Foxhound in the 1980s this changed. With a top speed of Mach 3.2 and armed with the R-33 missile (equivalent to a US Phoenix), At least two Habus we're intercepted in 1986. Once in January when Captain Mikhail Myagkiy got a lock-on at 52,000 ft and moved in up to 66,000 ft at 120 km range. The R-33 had a top speed of Mach 5, so the Habu couldn't outrun it even at Max speed of Mach 3.5 dash. In June that same year, six Foxhounds chased a Habu with the ability to fire an all-angle AAM attack. In both cases, the Habus were just outside Soviet airspace, so neither were attacked. After these incidents, the Habus we're restricted to side-scanning recon only. Now, the US is building the SR-72 at Mach 6 while the Russians are building the MiG-41 Foxhunter at Mach 4.3 armed with hypersonic missiles (Mach 7-10)!!!

* at least. The incidents above are the only ones declassified. There may be more.
** MiG-41