Why is my object in blender bigger by approximately a factor 10 than in my CAD program? I export my CAD models, which I create on Creo 2.0 (originally called Wildfire 5.0) as STL files, and import them into blender. 

But when I compare their sizes, the objects shown in blender are usually bigger than the objects shown on my CAD program by approximately a factor 10.

Did blender confuses the unit? Because when I exported the object as an STL file, it didn't give me an option to set the unit. Is there a default unit for STL files?

The units I usually work with on Creo 2.0 are mm.
Blender's default unit system is None, so it uses its own "Blender Units" (BU). But if you switch it to Metric in the Scene tab (Properties Editor), you'll notice that nothing changed. And 1 BU will now be 1m.

With Metric enabled, there will be a property available called scene Scale. You can set it to 0.1 to correct the scaling problem (granted, it's really 1:10). But I worry not all exporters will respect it.

So it might be better so Select All objects (A) and scale everything down (S, type 0.1, Enter). Make sure the scaling center is the scene origin (0,0,0), e.g. reset the 3D Cursor (N-sidebar, right-click on one of the 3 value fields and click Reset All to Default Values, or press ShiftC) and use it as Pivot Point (press .).