We investigate the linear and nonlinear optical response to an optical pumping of a four-level atomic system with electromagnetically induced transparency (EIT) in a cold Rydberg atomic gas. It is found that the transient behavior (especially, the third- and fifth-order susceptibilities) of the probe field, and the steady-state EIT spectrum of the gas, depend crucially on the Rydberg atoms' interaction. Furthermore, we find that the response speed of the Rydberg interaction with EIT can be as much as six times faster than the EIT without the Rydberg interaction, and that the nonlinear response time of the fifth-order optical susceptibility is longer than that of the third-order susceptibility. It is established that the Rydberg blockade effect plays a significant role in increasing the response speed of the Rydberg with EIT.