Your basic AM demodulator is an antenna, some sort of bandpass filter or resonant circuit (to get rid of all of the radio noise except the station you want), something that conducts better in one direction than the other, and a low pass filter at the end. It should be noted that most electronic circuits these days contain all of these elements. Us engineers spend a lot of time making our circuits NOT be radio receivers when we don’t want them to be.
In your case, the razor blade, combined with a piece of pencil lead (graphite), is trying to be a “point contact diode” (you can google that), which is the something that conducts better in one direction than the other part of the circuit. Chances are you had a nice shiny new blade. Old rusty blades work a lot better. Make sure the graphite touches the razor at a point where the blade is rusty.
The foxhole radio building instructions I read as a kid didn’t explain the theory. Is it the interface between the graphite and the razor blade that makes the rectifier? I always thought it was the two (dissimilar?) metal parts on a single-edge blade. So why a single-edge blade? Wouldn’t a double-edged one, especially if rusty, work as well? For that matter, wouldn’t any piece of rusty metal work, or does it have to be steel?
It’s the oxide (or even better - sulphide) coating that makes the diode. The contact can be any pointy conductor. The typical detector was a Galena (Lead sulphide) crystal, although Pyrite (Iron Sulphide) was used also. One had to hunt around on the surface to find a suitable spot. The Razor blade trick works best with blued blades - I doubt just a rusty blade would work very well.
It seems to be the blued steel that works the best, which is what the first disposable safety razor blades were. Bluing is an oxide layer, but not exactly rust. It will hold oil and prevent rusting, which high carbon steel is prone to. More modern razor blades were often nickel plated, so didn’t work. It might just be that oxides of iron are poor conductors, so you want a very thin layer to avoid losses, and bluing is an extremely thin oxide layer.
Old style double edged razor blades are rare, and blued ones more so if they exist at all. Actually, a likely source is remodeling old houses, as medicine chests used to have a disposal slot that just dropped the old blades into the stud bay.
But single edged blades survive for handyman and hobby use.
Single edged razor blades typically have no bluing or plating, but they put a little rust inhibitor in the fiberboard that wraps around the blade. If you clean them with a degreaser, and heat them up to 500F or so, a bluing will form, and you can build a foxhole radio.