The department said New Orleans, New York City, Philadelphia, and Cook County in IL along with its largest city Chicago, "have preliminarily been found" to have policies that violate the law.
Similar letters went to Chicago and Cook County where that city is located, Philadelphia and New Orleans telling them they're out of compliance.
The Department of Justice has just launched another salvo against Chicago in its crusade against sanctuary-city cities.
U.S. District Judge Harry Leinenweber last month granted Emanuel a nationwide preliminary injunction preventing the Justice Department from applying new rules to grant recipients requiring them to cooperate with immigration agents to get the money.
The letter gives the city until October 27 to submit more documents proving they're in compliance before the feds make a final decision about the money.
If the government finds the cities and county are violating the statute that calls for information sharing with federal immigration officials, it says it could decide to cut federal funds for law enforcement.
The policies violate a federal immigration statute that prohibits municipalities from restricting communications between government agencies and federal immigration authorities who seek the immigration status of an individual, according to the DOJ.
A letter from the Justice Department released Thursday said officials believe NY is violating a law requiring cooperation on immigration enforcement - one of four cities put on notice they were out of compliance.
The letters don't say what will happen if the cities don't comply.
"Jurisdictions that adopt so-called "sanctuary policies" also adopt the view that the protection of criminal aliens is more important than the protection of law-abiding citizens and of the rule of law", Sessions said in a statement.
The city has said its policies are legal, and vowed to sue if money is actually taken away.
Seth Stein, a spokesman for New York City, said the mayor's office was "prepared to fight to protect critical public safety funding". Perhaps ironically, another major Trump supporter, Republican former New York Mayor Rudy Giuliani, memorably offered a dramatic defense of policies that shielded immigrants from persecution while running City Hall in the 1990s.
City solicitor Sozi Tulante responded that the city does share information, but that information doesn't include immigration status, because the city doesn't ask for it.
The Justice Department said it had found no evidence that four other jurisdictions - Milwaukee County, Wisconsin, Clark County, Nevada, Miami-Dade County, Florida and the State of CT - were in violation of the statue, known as Section 1373.