If your female ferret comes into heat and you don't want baby ferrets (I can't think why anybody wouldn't want baby ferrets, but apparently that's a thing) you can either find someone with a neutered male ferret to… er… sort her out, or if you're a killjoy you can take her to the vet for a hormone shot to take her out of heat.
Basically, she stays in heat until she's bred, and if she doesn't get any, her body can't cope with being in hormonal overdrive for that long, meaning she'll develop aplastic anaemia and die.
But I don't think blue balls works quite the same way.
One of my other favourite fun animal sex facts is that hyenas give birth through their clitorises. Though I suspect it's not so fun for the hyena.