It's not clear which cities will be targeted and what funds would be taken away.
Mayors of "sanctuary cities" have remained defiant. Here is how officials reacted to Sessions' comments:
"They can't commandeer local police departments to carry out their dirty work.... We are not going to buckle. Miami is the only city that is capitulating to this bullying. The 200 of us, we are not moving ... Friday they get their a** kicked (on health care), so now they've got to change the subject."
-- Madison, Wisconsin, Mayor Paul Soglin
Plan to withhold federal funds 'unconstitutional'
"The administration's plan to deny federal funds to cities that are standing up for their values is unconstitutional, and Chicago is proud to stand with 34 cities and counties across the country in asking a federal court to prevent the federal government from illegally withholding federal funds."
-- Chicago mayoral spokesman Matt McGrath
'Uphold our American values'
"Today, we heard from the U.S. attorney general on his plea to sanctuary cities to uphold the law. Well, we have a plea to him too: Uphold the U.S. Constitution, uphold the truth, uphold our American values."
-- Somerville, Massachusetts, Mayor Joseph A. Curtatone
'Won't back down from protecting New Yorkers'
"President Trump's latest threat changes nothing. We will remain a city welcoming of immigrants who have helped make our city the safest big city in the nation. Any attempt to cut NYPD funding for the nation's top terror target will be aggressively fought in court. We won't back down from protecting New Yorkers from terror -- or from an overzealous administration fixated on xenophobia and needless division."
-- New York City Mayor Bill de Blasio
All welcome, 'no matter' immigration status
"We will not be a community where police are part of any "deportation force" or where immigrants are fearful of being torn from their families for minor offenses. We will be a community where all feel welcome and safe, no matter their immigration status."
-- Newton, Massachusetts, Mayor Setti Warren
Administration threat 'irresponsible and destructive'
"The safety and well-being of our residents is, and will continue to be, my top priority as mayor of Boston. The threat of cutting federal funding from cities across the country that aim to foster trusting relationships between their law enforcement and the immigrant community is irresponsible and destructive."
-- Boston Mayor Martin J. Walsh
Proud to be a 'welcoming community'
"Cambridge continues to stand proud as an inclusive, diverse, and welcoming community to all whom have come here to make a better life for themselves, and who have sought to participate in the American Dream. Today's statement by Attorney General Sessions does not change that stance."
-- Cambridge, Massachusetts, Mayor E. Denise Simmons
'Direct attack on public safety'
"The Attorney General's comments today are a direct attack on public safety. He is threatening to take away money from police departments for what amounts to nothing more than good police work. Undocumented residents and their family members are much less likely to call law enforcement when they are a witness to or a victim of a crime if they know that the police will turn them in to ICE. And if residents can't call the police, then it is extremely difficult to get criminals off the street."
-- Philadelphia communications director Lauren Hitt
The nation's laws 'are going to be enforced'
"I applaud today's bold action by Attorney General Sessions that aims to end sanctuary city policies that endanger American lives. After years of the previous administration turning a blind eye to this issue, the federal government is sending a clear and necessary message that the laws of this land are going to be enforced."
-- Texas Gov. Greg Abbott
'The chickens are coming home to roost'
"I have been warning Louisiana officials that we needed to end sanctuary cities in our state. Now the chickens are coming home to roost. We have an illegal immigration problem across the country and certainly in Louisiana."
-- Louisiana Attorney General Jeff Landry
'Sanctuary cities are safer cities'
"As we have always asserted, sanctuary cities are safer cities. When immigrants can enroll their children in school, access health care for vaccinations, and report crimes, our city and county is safer. It is shocking that the U.S. Attorney General, the nation's top law enforcement official, does not agree with this basic principle of public safety."
-- San Francisco mayoral spokeswoman Deirdre Hussey
Cutting funds for first responders 'serves no one'
"L.A.'s values are not for sale, and there are constitutional protections against the kind of punitive, counterproductive actions proposed today by the Attorney General. Our policies are designed to keep our residents safe. Slashing funds for first responders, for our port and airport, for counterterrorism, crime-fighting and community-building serves no one — not this city, not the federal government, not the American people."
-- Los Angeles Mayor Eric Garcetti
Session's threat 'strengthens our resolve to fight back'
"As I've said, I'm willing to risk losing every penny of federal funding to stand by our commitment to protect everyone in our community. Attorney General Sessions' threat to claw back federal funding only strengthens our resolve to fight back. We will keep all our Welcoming Cities policies in place."
-- Seattle Mayor Ed Murray